indicator and forecasting properties of the real interest rate gap for inflation, both in the model and in the data. Our results … suggest that the real interest rate gap has value as an inflation indicator, supporting the ‘neo-Wicksellian framework …

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

A measure of the credibility of monetary policy is the inflation risk premium embodied in nominal yields. This will be … with that in the real term structure of inflation-indexed bonds. Information can also be obtained about the real risk … premium, and about expected inflation. We estimate these risk premia using a generalization of the Cox-Ingersoll-Ross (CIR …

. Whereas our methodology is general, we focus on an extended macro-model with unobservable processes for the inflation target … inflation target dominates the variation in the 'level factor' whereas monetary policy shocks dominate the variation in the …

ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

how central bank preferences (and thereby monetary policy) affect the relation between nominal interest rates, inflation … estimated by maximum likelihood on quarterly US data. The policy experiments include stronger inflation targeting, more active …

-neutrality of money and the `Fisher effect' of inflation on interest rates. …

Asset price inflation presents central banks with a puzzle. I examine the case of Germany, 1925-7, when the Reichsbank …

Financial globalization has seen the emergence of a new monetary standard based on inflation targeting. At the same … constrain the independence of central banks to conduct monetary policy? We argue, and show empirically, that credible inflation … limited deviation was possible within the 'gold points'. On the other hand, the credibility of inflation targeting regime is …