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

real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve … properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced … by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation …

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 …

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 …

term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor … that models the changing level to which inflation is expected to revert, as well as four volatility factors that follow … GARCH processes. We derive analytical solutions for the prices of nominal bonds, inflation-indexed bonds that have an …

include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real … SPF inflation (but not growth) forecasts. Such findings point to the potential usefulness of SPF inflation forecasts in … improving the accuracy of SPF and random walk forecasts of TBR and Aaa. Further results indicate that changes in SPF inflation …

inflation and real interest rates in Germany, using monthly data starting in 1967:1. The central results are twofold. First, the … interest rate spreads considered contain considerable information about future changes in inflation, but no information about … rates, for instance) appears to be the most informative for future inflation. These results are similar to those obtained by …