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We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel. We fit the model not only to yields, but also to the yields’ variance-covariance matrix, thus increasing identification power. We find that model-implied inflation expectations can differ substantially from breakeven inflation rates when market volatility is high. The model is estimated at a weekly frequency for use in real-time monetary policy analysis.