In this paper we approach the inflation expectations and the real interest rate by using the information contain in the yield curve. We decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed...

In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy...