inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find … evidence that medium- and long-term inflation expectations are contained within narrower bounds since the early 1990s …, suggesting monetary policy credibility improved after the introduction of inflation targeting. …

The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by … core inflation. The model for inflation decomposition is a small structural model, set up in state space framework. Kalman … filter procedure is applied to filter the future paths of CPI components, given projected headline inflation obtained by …

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor …

This paper conducts a structural analysis of inflation persistence in the United Kingdom between 1965-2009. I allow for … and stochastic shock volatility. The first policy regime responds passively to movements in inflation, adjusting the … other regime responds actively to inflation and places less weight on exchange rate movements. This regime is present for …

inflation expectations to income growth expectations for the average consumer, with considerable heterogeneity in pass …-through associated with sociodemographic factors. The results also indicate that higher inflation expectations cause an increase in … inflation and expected utility. Taken together, the survey results and model analysis provide a labor market account of why …