Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2008
Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven … could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an … estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury …