We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as …

inflation. Dividend strip returns are predictable, and the predictive power decreases with maturity as a result of predictable …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal … about inflation and growth. Ambiguity can help resolve the puzzling fact that upward-sloping yield curves have persisted … despite positive inflation shocks changing from negative to positive news about growth in the last twenty years. Investors …

from the stable components in GDP growth and inflation, which share similar patterns to the neutral rate of interest (R …-star) and trend inflation (Pi-star) estimates in the literature. Cyclical movements in yields and spreads are mainly driven by … learning from the transitory components in GDP growth and inflation. The less-frequent inverted yield curves observed after the …

This paper undertakes a quantitative investigation of the effects of anticipated inflation on the distribution of … environment to study the distributive effects of changes in anticipated inflation. An increase in anticipated inflation leads …, this redistribution improves aggregate welfare. First, this paper shows that inflation acts not only a regressive …