Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real
bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk …

We study how monetary policy affects subcomponents of the Personal Consumption
Expenditures Price Index (PCEPI) using local projections. Following a monetary policy …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation
expectations and maturity-specific interest-rate cycles, which we define as variation in yields …

I document large and persistent errors in investors' expectations about the short-term interest
rate over the business cycle. The largest errors arise in economic downturns and during Fed …

We propose an approach to identify economic shocks (monetary, growth, and risk premium
news) from stock returns and Treasury yield changes, which allows us to study the drivers of …

Do “real” assets protect against inflation? Core inflation betas of stocks are negative while
energy betas are positive; currencies, commodities, and real estate also mostly hedge …

We use several US and euro‐area surveys of professional forecasters to estimate a dynamic
factor model of inflation featuring time‐varying uncertainty. We obtain survey‐consistent …

I use a statistical model to combine various surveys to produce a term structure of inflation
expectations—inflation expectations at any horizon—and an associated term structure of …

Historically, inflation is negatively correlated with stock returns, leading investors to fear
inflation. We document using a variety of measures that this association became positive in …

We study a model with heterogeneous producers that face collateral and cash-in-advance
constraints. A tightening of the collateral constraint results in a credit-crunch-generated …