A non-knotty inflation risk premium model

In this paper I estimate the inflation risk premium (IRP) using a low- dimensional arbitrage free dynamic model through novel strategy. Instead of modeling nominal and real yields jointly, make assumptions about short-term rate. More specifically, assume it follows Gaussian process. This framework has closed-form expression for IRP. Since are not observed, to parameters approximate them by break-even approximation works well because convexity correction is very small. find estimated IRP strongly correlated with those obtained surveys or more complex models. Therefore, provide an easier procedure obtain IRP, avoiding cumbersome estimation process high-order