Consensus Economics survey data on GDP growth, inflation, and short-term interest rates to approximate macroeconomic … priced in the cross section and drive the size and value premium, whereas inflation expectations serve as robust predictors …

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a … kernel-based methods discussed in Giraitis et al. (2018), but relying on the estimation approach put forward in Morf et al …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the …

by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

information content of the term structure of interest rates about future inflation. The empirical results of these studies … structure of interest rates only contains limited information about future inflation and that the relationship between the term … structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model …