Although it is theoretically well established that market sentiment and inflation expectations
influence gold price, limited research considers whether such effects vary depending upon …

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 …

We decompose long-term nominal bond yields into real and inflation components in an
international context using inflation-linked and nominal bonds. In contrast to extant results …

We use UK transaction-level data on nominal bond, inflation-linked bond and inflation swap
markets to study trading behaviour and prices in inflation markets. Our empirical analysis …

The aim of this paper is twofold. Firstly, we test the rationality of survey‐based and market‐
based inflation expectations. Secondly, we investigate whether they indicate a different …

Identifying the components of yields is a challenging task for monetary authorities. We use a
term structure model with stochastic volatility and eurozone global macro factors to estimate …

I compare the direct issuance costs of inflation-linked debt (the liquidity premium) with
nominal government debt (the inflation risk premium) in developed countries. On average, it …

The purpose of this article is to review the literature on inflation-adjusted bonds, swaps, and
derivatives. The methodology for valuation and risk management of these securities is an …

How does the additional debt issued by the government affect the term structure of interest
rates? In this paper we identify Treasury supply shocks using intraday high-frequency data …

Using a stochastic volatility model and data on yields, forward rates, and yield volatilities for
very long maturities (up to 25 years), we estimate the expectation, risk premium and …