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 …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk … distribution of the inflation Sharpe ratios to achieve economically reasonable estimates of the inflation risk premium and of the … real rates. We find that the inflation risk premium (i) is positive on average, (ii) rises when the unemployment rate …

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

component analysis suggests an interpretation of this strategy as a risk-factor which drives the variability of portfolio … average returns. Asset pricing tests show that popular risk factors in the FX literature are not priced in the cross …

We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that …

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …