Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

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 …

, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign …

smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which … is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …. The comparison between the inflation compensation and the inflation swap shows that the two variables are closely …

generally find that deflation terms contributes negatively to such a premium and inflation positively. The magnitudes of the … coefficients associated with deflation tend to be greater, compared to those associated with inflation. This suggests that …

This paper estimates Inflation risk premia in the Euro area based on nominal swap yields, inflation swap rates, CPI and … conclude that inflation risk premia is insignificant, where a model including surveys will that it significant. Finally our …