The proposition that inflation expectations can be extracted as inflation predictions from the government bond yield … of inflation. Examining the sub-periods separated by the adoption, in 2000, of inflation targeting, we find that the … monetary policy regime shift strengthened the relationship between the yield spread and future inflation. The results suggest …

Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects … the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries … in the forecasters' costs of over- and under-predicting inflation. Our model implies (i) biased forecasts; (ii) positive …

Using state-space modeling, we extract information from surveys of long-term inflation expectations and multiple … quarterly inflation series to undertake a real-time decomposition of quarterly headline PCE and GDP-deflator inflation rates … approaches to real-time forecasting of headline PCE inflation. We find that performance is enhanced if forecasting equations are …

Inflation expectations constitute important components of macroeconomic models and monetary policy rules. We … investigate the relative performance of consumer, professional, market-based, and model-based inflation forecasts. Consistent with … the previous literature, professional forecasts most accurately predict one-year-ahead year-over-year inflation. Both …

implementation of Muth’s hypothesis to represent market participants’ inflation expectations under Knightian uncertainty arising from … that processes driving inflation time-series and inflation forecasts undergo nonrecurring structural shifts. In contrast to …

dynamics of multi-horizon survey forecasts of inflation, output growth and monetary policy are modelled jointly with the …

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 …