Based on the affine term structure model, we estimate the expected inflation and measure
the credibility of monetary policy in order to examine exchange rate dynamics. We find that …

We develop a term structure model that decomposes nominal yields into the sum of an
expectation, term premium, and convexity term and in turn of their real and inflation …

This paper studies the portfolio choice of two large investors who act strategically because
their trading affects interest rates. Each investor chooses her optimal portfolio conditional on …

We propose a new model to decompose inflation swaps into genuine inflation expectations
and risk premiums. We develop a no-arbitrage term structure model with stochastic …

Based on an empirically attractive Gaussian dynamic term structure model and data on the
short-term real interest rate and per capita real consumption, this paper examines the …

This study introduces an adaptive portfolio model that dynamically adjusts to varying
macroeconomic regimes, enhancing market predictions and portfolio selection by …

The rate of swap contracts linked to inflation can be a poor measure of inflation expectations,
as it incorporates time-varying risk premia. By following an established approach, we …

This study quantifies the inflation-targeting credibility in expectation as perceived by bond
markets, measured by the posterior probability of the expected inflation falling within the …

This paper explores the impact of inflation news coverage on the US market for inflation-
protected securities. We employ a large collection of news headlines from the top ten US …

This paper investigates the effects of inflation news coverage on market-based inflation
expectations and outcomes in the inflation-protected securities market. We employ a large …