consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …

evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that …

This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations … on both inflation and output. In addition, threshold functional local projections indicate that the effects are nonlinear … and depend on central bank credibility. Further, inflation expectations shocks have similar effects to supply (demand …

econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … expectations component, consistent with survey evidence on expectations of future interest rates and inflation. …

This paper uses the European Commission's Consumer Survey to assess whether inflation expectations have converged and … whether inflation uncertainty has diminished following the introduction of the Euro in Europe. Consumers' responses to the … survey suggest that inflation expectations depend more on past national inflation rates than on the ECB's anchor for price …

estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting …) respectively over the period January 1993-August 2021. Both market and survey measures of inflation expectations are used as the … expectations of both consumers and producers are considered instead of expectations from consumer surveys only. Finally, inflation …

Households participating in financial markets pay attention to inflation news when making their investment decisions …, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation …-based inflation expectations measures increase. Changes in household survey expectations or in measures of inflation uncertainty do …