Front Matter Page
Western Hemisphere Department
Contents
I. THE CONQUEST OF INFLATION… AND THEN WHAT?
II. AN EXTENSION OF TERM PREMIUM MODELING
A. Similar Models in the Literature
B. The Model
III. A MORE FLEXIBLE AND PESSIMISTIC VIEW
A. Model Results
B. Estimates of Inflation Expectations
C. The Estimated Inflation Risk Premium
D. The Liquidity Premium
IV. COVID-19
V. CONCLUSIONS
REFERENCES
FIGURES
1. CPI Inflation
2. Expectations of CPI Inflation
3. Inflation Expectations
4. Inflation Expected in the Long-run
5. Alternative estimates of long-run expectations
6. Decomposition of the 10-Year Breakeven Inflation
7. Liquidity Impacts on Breakeven Inflation Estimates
8. Inflation Expectations During Covid
TABLES
1. Factors’ Speeds of Mean-Reversion
2. Share of Variance Explained
3. Measurement Errors
APPENDIX
Observation Equations