of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

structure reflects changing expectations of future yields and inflation. This analysis shows that the presence of time … less than five years. By contrast, variations in inflation expected over the next two to three years are very accurately … term structures closely track changing expectations regarding future nominal and real yields but not future inflation …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …

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 …

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

This paper examines three empirical measures of the ex ante 10-year real interest rate: inflation-indexed government … bond yields and two Fisher-hypothesis proxies based on survey inflation expectations and a shifting endpoint econometric …

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

This paper evaluates the properties of nominal interest rates as indicators of inflation expectations. Are they … sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations …. However, changes in interest rates are poor indicators of changes in inflation expectations …

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 …

The term structure of inflation forecasts disagreement in the US can be summarized by two components: disagreement … about the trend inflation, and disagreement about the cyclical inflation. While the former has identical impacts on … forecasting horizons. Only the cyclical inflation disagreement has a significant impact on monetary policy efficacy. High …