Decomposing real and nominal yield curves

被引：50

作者：

Abrahams, Michael ^{[1
]}

Adrian, Tobias ^{[2
]}

Crump, Richard K. ^{[2
]}

Moench, Emanuel ^{[3
]}

Yu, Rui ^{[4
]}

机构：

[1] MIT, Sloan Sch Management, Cambridge, MA 02139 USA

[2] Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA

[3] Deutsch Bundesbank, Frankfurt, Germany

[4] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2016年 / 84卷

关键词：

TIPS breakevens; Expected inflation; Inflation risk premium; Affine term-structure model; Liquidity risk; TERM STRUCTURE; MONETARY-POLICY; INTEREST-RATES; INFLATION-EXPECTATIONS; RISK PREMIUMS;

D O I：

10.1016/j.jmoneco.2016.10.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Inflation-indexed and nominal yield curves capture investors' expectations of real short rates and inflation as well as their required compensation for bearing liquidity, inflation, and real interest rate risk. We estimate an affine term structure model that allows us to decompose real and nominal bond yields into these components and use the model to study the transmission of monetary policy. The model decompositions imply that the Federal Reserve's announcements of LSAPs lowered yields primarily by reducing real term premia. Changes in real term premia also account for the strong response of long-term real forward rates to federal funds rate surprises. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：182 / 200

页数：19

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