We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining …

structure reflects changing expectations of future yields and inflation. This analysis shows that the presence of time … less than five years. By contrast, variations in inflation expected over the next two to three years are very accurately … term structures closely track changing expectations regarding future nominal and real yields but not future inflation …

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation …, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do … results show that, before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation …

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 … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

to expectations about future output growth, and (iii) affected by uncertainty about future output growth and inflation …

the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …