Kothe, RafaelRafaelKothe0009-0005-0323-80192026-03-122026-03-1220260165-1765https://fis.uni-bamberg.de/handle/uniba/114256This paper investigates the predictive accuracy of Eurozone inflation-linked swaps (ILS) across volatility regimes using a Markov-switching framework and regime-specific Mincer–Zarnowitz regressions. Results show a sharp divergence by maturity. While 12-month ILS remain approximately unbiased, their forecast precision (RMSE) deteriorates sharply in high-volatility states. In contrast, longer maturities (24–36 months) develop statistically significant, large positive biases (up to 378 basis points) and calibration losses evident across both volatility periods — a finding masked by standard asymptotic inference. These findings highlight the structural, persistent nature of the mispricing at medium horizons and the risk of policy misinterpretation.engInflation expectationsInflation-linked swapsMarkov-switching modelsRegime dependenceForecast accuracyInflation risk premiaarticle10.1016/j.econlet.2026.112826