We study the role of the cost of inflation channel in determining the risk premium in a (nonlinear) New Keynesian DSGE … model. Relying on a Calvo (or Rotemberg) price setting, we show that while the cost of inflation channel generates the …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation … survey data on inflation and interest rate expectations at various future horizons, as well as term structure data from both … sufficiently developed in both monetary areas, inflation risk premia across various maturities had strikingly similar properties in …

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 …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

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 …

A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation … risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been … fluctuations in economic growth and inflation …