In this paper, we propose a novel way to calculate the relative liquidity premium between the
nominal and inflation-indexed government bonds. We assume that both nominal and
inflation-indexed bonds contain liquidity premium. Moreover, the methodology that is used in
the paper does not need survey data to extract changes in the long-run inflation
expectations. Hence, we can report the changes in the long-run inflation expectations on a
daily basis. We apply this methodology to the Turkish bond market data. Results of the paper …