Seppala, Juha; Ravenna, Federico - Society for Economic Dynamics - SED - 2007
negatively correlated, (iii) short-term real interest rates display greater volatility than expected inflation, (iv …) nominal interest rates and expected inflation are negatively correlated for short maturities, but positively correlated for … long maturities, (v) inflation risk premia are very small and very constant, and (vi) inflation risk premia and expected …