consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

This paper investigates the link between the perceived inflation risks in macro-economic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk … premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity. We combine nominal … yields with surveys of inflation forecasts within a no-arbitrage model where conditional expectations are latent but spanned …

representing the short-term real interest rate, expected inflation, inflation's central tendency, and four volatility factors that … follow GARCH processes. We derive analytical solutions for nominal bond yields, yields on inflation-indexed bonds that have … an indexation lag, and the term structure of expected inflation. Unlike prior studies, the model's parameters are …

We propose a DSGE model with regime switching in the central bank's inflation target to explain inflation compensation … in the UK. Taking advantage of the well-documented change in UK monetary policy to adopt inflation targeting, we estimate … our model using nominal and inflation-linked Treasury bond data from the UK from 1985 to 2007. We find that this model can …

This paper estimates Inflation risk premia in the Euro area based on nominal swap yields, inflation swap rates, CPI and … conclude that inflation risk premia is insignificant, where a model including surveys will that it significant. Finally our …

and the inflation risk premia differential (IRPD) component. We find that the IRPD component is significantly negative for …

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK …. Three types of inflation uncertainty — structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty … structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse …