In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro … area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation … fears on the inflation risk premium. For our analysis, we construct a special dataset with a broad range of indicators. The …

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …

yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …

This article starts by discussing the concept of "inflation hedging" and provides estimates of "inflation betas" for … inflation hedges. Expanding the menu of assets to Treasury bills, foreign bonds, real estate and gold improves matters but … inflation risk remains difficult to hedge. We then describe how state-of-the-art term structure research has tried to uncover …

government bonds to derive expected inflation rates and the corresponding inflation risk premia, in the euro area and in the … factors and one inflation factor; the model provides substantial information related to expected inflation and inflation risk … market and economic outlook in the United States and by news on inflation in the euro area; this preliminary results can be …

, Inflation and the Risk Premium -- Chapter 4; The Mundell Fleming Model of the Exchange Rate -- Chapter 5: Valuation Models (PPP …, DEER, FEER)? -- Chapter 6: What Drives Inflation and How Do Central Banks Control It? -- Chapter 7: Analogous Frameworks … inflation. Many real-world examples illustrate how these concepts relate to each other. I have enjoyed reading every page of …