government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood … which can be interpreted as two real factors and one inflation factor. These provide important information on expected … inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US …

, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …

, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign …

-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the …We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging …

depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest … rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond … important to Swiss government bond yields than Swiss stock prices …