This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging … inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation …

This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model …

This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …