We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …

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

, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …