-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk …We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from … index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time …

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …

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 …

This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My … the behavior of inflation expectations-agents expected shocks to persist in the pre-Volcker period, but not in the post …

long-run interest rates and inflation expectations into account. We find a strong connection between oil prices and long … strong relationship if inflation and oil prices were driven by monetary policy. The observed magnitude of this relationship …

This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of … affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU …-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have …

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal … yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a … time-varying inflation risk premium. We fit the model not only to yields, but also to the yields' variance …

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting … attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation …