We propose a new way to compute market-based risk-adjusted measures of inflation expectations. Borrowing from the finance literature, we study the ex-post excess return on inflation swap contracts – the difference between the swap rate at a given maturity and the realized inflation rate over the same horizon – which is an unbiased proxy of risk premia under the rational expectations hypothesis. The empirical results show that the risk premia on inflation swap rates at short-to-medium maturities can be predicted by macroeconomic variables that are present in agents' information set at the time the contract is signed, and that they vary counter-cyclically. This econometric analysis is then used to construct a measure of risk-adjusted inflation expectations so as to assess the role of risk premia in determining inflation swap rates. On this basis we find that the observed decline in inflation swap rates at short-to-medium maturities in 2014 was driven mainly by changes in inflation expectations.