long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year …-on-year inflation-indexed swaps, inflation-indexed swaptions, and inflation-indexed caps and floors. We provide an example and explain … how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums …

We propose a DSGE model with regime switching in the central bank's inflation target to explain inflation compensation … in the UK. Taking advantage of the well-documented change in UK monetary policy to adopt inflation targeting, we estimate … our model using nominal and inflation-linked Treasury bond data from the UK from 1985 to 2007. We find that this model can …