structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium …-varying inflation risk premium complicates the interpretation of the TIPS break even inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS break even inflation rates are a useful proxy …

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no … informational content of TIPS breakeven inflation, a widely-used proxy for expected inflation …

and inflation responses to a source of inflation risk. Bond yields contain compensations for this risk that depend on the … policy. Credibility improvements reduce the exposure to inflation risk and bond risk premiums decline. A model calibration …

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 …

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 …

This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group … yields of long-term government bonds in a set of 11 eurozone countries. Furthermore, autoregressive distributive lag (ARDL …

This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group … yields of long-term government bonds in a set of 11 eurozone countries. Furthermore, autoregressive distributive lag (ARDL …

associated with the debt-deflation terms tends to be greater than those associated with inflation. This suggests that …://ssrn.com/abstract=2870167' Inflation Mechanisms, Expectations and Monetary Policy …