Real and Nominal Equilibrium Yield Curves with Endogenous Inflation: A Quantitative Assessment
dc.contributor.author | Palomino, Fransisco | |
dc.contributor | Li, Erica X. N. | |
dc.contributor | Hsu, Alex C. | |
dc.date.accessioned | 2014-11-21T14:52:25Z | |
dc.date.available | 2014-11-21T14:52:25Z | |
dc.date.issued | 2014-10 | |
dc.identifier | 1256 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/109419 | |
dc.description.abstract | The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and quantitatively in a model with nominal rigidities and monetary policy. The interest-rate policy rule becomes a restriction linking real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation (output) increase (decrease) both premia. Policy surprises generate significant yield volatility but negligible risk premia. | en_US |
dc.subject | Term structure of interest rates | en_US |
dc.subject | bond risk premia | en_US |
dc.subject | monetary policy | en_US |
dc.subject | nominal rigidities | en_US |
dc.subject.classification | Finance | en_US |
dc.title | Real and Nominal Equilibrium Yield Curves with Endogenous Inflation: A Quantitative Assessment | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Finance | en_US |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | Ross School of Business | en_US |
dc.contributor.affiliationother | Cheung Kong Graduate School of Business | en_US |
dc.contributor.affiliationother | Georgia Institute of Technology | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/109419/1/1256_Palomino.pdf | |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.