This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real
bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk …

We develop a model of nominal and real bond yield curves that has four stochastic drivers
but seven factors: three factors primarily determine the cross-section of yields, whereas four …

This article starts by discussing the concept of 'inflation hedging'and provides estimates of
'inflation betas' for standard bond and well-diversified equity indices for over 45 countries …

Inflation-indexed and nominal yield curves capture investors׳ expectations of real short rates
and inflation as well as their required compensation for bearing liquidity, inflation, and real …

In recent years, government-issued inflation-indexed bonds have become available in a
number of countries and have provided a fundamentally new instrument for use in retirement …

Differences between yields on comparable‐maturity US Treasury nominal and real debt, the
so‐called breakeven inflation (BEI) rates, are widely used indicators of inflation …

The downtrend in US interest rates over the past two decades may partly reflect a decline in
the longer-run equilibrium real rate of interest. We examine this issue using dynamic term …

This chapter presents and compares existing studies' research designs and data used and
shows their estimates for the inflation risk premium, thus building on the work of Bekaert and …

We study the nature of deflation risk by extracting the objective distribution of inflation from
the market prices of inflation swaps and options. We find that the market expects inflation to …