I show that the nature of the Federal Open Market Committee's (FOMC's) forward guidance
language shapes the private sector's responses to monetary policy statements. From …

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 …

This chapter provides an overview of surveys of professional forecasters, with a focus on the
US Survey of Professional Forecasters and the European Central Bank Survey of …

We analyze the relationship between forecaster disagreement and macroeconomic
uncertainty in the Euro area using data from the European Central Bank's Survey of …

Several statistical issues that arise in the construction and interpretation of measures of
uncertainty from forecast surveys that include probability questions are considered, with …

In this paper we construct model-free and model-based indicators for the inflation risk
premium in the US and the euro area. We study the impact of market liquidity, surprises from …

This paper proposes a new approach to assess the degree of anchoring of inflation
expectations. We extend the static setup of the predominant news regressions by …

Based on expectations data from the Survey of Professional Forecasters (SPF), we construct
a real-time proxy for expected term premium changes of US long-term Treasury bonds. We …

We introduce a new measure called Inflation-at-Risk (I@ R) associated with (left and right)
tail inflation risk. We estimate I@ R using survey-based density forecasts. We show that it …

Studies seek to identify the determinants of the inflation risk premium. Nevertheless, the
literature investigating the effects of fiscal variables on the inflation risk premium is scarce …