We present two models for long-term inflation expectations and inflation risk premiums for Canada. First, we estimate … inflation expectations using a vector autoregressive model based on the relationship of inflation with both the unemployment gap … and the term structure of the Government of Canada nominal bond yields. Then we estimate the inflation risk premium by …

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 …

characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … by term premiums, not expected short rates or inflation; 2) term premiums co-move more strongly across maturities than … is primarily the result of a decline of expected inflation and term premiums while expected future real rates have …

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 …

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

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 …

Consensus Economics survey data on GDP growth, inflation, and short-term interest rates to approximate macroeconomic … priced in the cross section and drive the size and value premium, whereas inflation expectations serve as robust predictors …

Consensus Economics survey data on GDP growth, inflation, and short-term interest rates to approximate macroeconomic … priced in the cross section and drive the size and value premium, whereas inflation expectations serve as robust predictors …