Boeckx, Jef; Iania, Leonardo; Wauters, Joris - 2023
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 as to how macroeconomic variables affect market-based inflation expectation measures …