: output growth, the global term spread and an inflation climate measure. The common stochastic trend of the global economy is …

: output growth, the global term spread and an inflation climate measure. The common stochastic trend of the global economy is …

equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …

equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian … approach. The natural real rate and trend inflation are cornerstones determining equilibrium yields across maturities and …

-term interest rate into an expected inflation and an ex-ante real interest rate component. The latter may be a useful indicator of … rate series and the stationary component of the real interest rate is estimated and shocks to expected inflation and the ex …-ante real rate are identified using the long-run restriction that only shocks to expected inflation have long-run effects on the …

Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation …

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal … interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …

of inflation expectations--inflation expectations at any horizon--and an associated term structure of real interest rates …. Inflation expectations extracted from this model track realized inflation quite well, and in terms of forecast accuracy, they …-run inflation expectations remained anchored, and the policies of the Federal Reserve provided a large level of monetary stimulus to …

This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations … on both inflation and output. In addition, threshold functional local projections indicate that the effects are nonlinear … and depend on central bank credibility. Further, inflation expectations shocks have similar effects to supply (demand …