Chernov, Mikhail; Mueller, Philippe - C.E.P.R. Discussion Papers - 2008
We use evidence from the term structure of inflation expectations implicit in the nominal yields and survey forecasts … that they are driven by inflation, real activity and one latent factor, which is correlated with survey forecasts. We show … that the interest rate responds to this "survey" factor. The inflation premium and out-of-sample estimates of the inflation …