Shocks to nominal bond yields are comprised of news about expected future inflation, news about expected future real … component for short and long maturity Treasury bonds. At a quarterly frequency, variances of news about expected inflation …

future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates … helps to predict the difference between the 12-month and 3-month inflation rates. His approach however, lacks a theoretical … the problem of predicting the inflation spread. It is shown that the appropriate indicator of expected inflation can make …

real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve … properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced … by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation …

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … model, the empirical results suggest that inflation uncertainty has a negative impact on nominal interest rates and a …

include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real … SPF inflation (but not growth) forecasts. Such findings point to the potential usefulness of SPF inflation forecasts in … improving the accuracy of SPF and random walk forecasts of TBR and Aaa. Further results indicate that changes in SPF inflation …