incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … by term premiums, not expected short rates or inflation; 2) term premiums co-move more strongly across maturities than … is primarily the result of a decline of expected inflation and term premiums while expected future real rates have …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …