We argue that measurement error in historical price data has led researchers to erroneously believe that there was little persistence of inflation during the 19th century. Using a statistical technique that accounts for these errors, we estimate the persistence of (a) US inflation and (b)...

We make three points. First, the decade before the financial crisis in 2007 was characterized by a collapse in the yield on TIPS. Second, estimated VARs for the federal funds rate and the TIPS yield show that while monetary policy shocks had negligible effects on the TIPS yield, shocks to the...

This paper tests the expectations hypothesis (EH) of the term structure of interest rates in US data, using spectral regression techniques that allow us to consider different frequency bands. We find a positive relation between the term spread and the change in the long-term interest rate in a...