This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and … conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are … affected. This suggests that indexed bonds protect investors against inflation while nominal bonds are exposed to changing …

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 …

-term interest rates to the Bank of England’s inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …

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. …

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 …

inflation and interest rates. We study a stylized New Keynesian model where the policy instrument is subject to a lower bound to … interest rates and inflation to study whether the decrease in the natural rate of interest leads to forecast densities … bound has a sizable effect on the distribution of future interest rates, its impact on forecast densities for inflation is …