Monetary policy and TIPS yields before the crisis

被引：0

作者：

Gerlach, Stefan ^{[2
,3
]}

Moretti, Laura ^{[1
]}

机构：

[1] Ctr Financial Studies, D-60323 Frankfurt, Germany

[2] Cent Bank Ireland, Dublin, Ireland

[3] CEPR, London, England

来源：

B E JOURNAL OF MACROECONOMICS | 2014年 / 14卷 / 01期

关键词：

long-term real interest rates; monetary policy; TIPS;

D O I：

10.1515/bejm-2012-0154

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we study the joint behavior of the federal funds rate and 10-year TIPS yields before the start of the financial crisis in 2007. We make three points. First, the decade before the crisis was characterized by a collapse in the yield on TIPS. Second, estimated VARs for the federal funds rate and the TIPS yield show that while monetary policy shocks had negligible effects on the TIPS yield, shocks to the latter had one-to-one effects on the federal funds rate. Third, these findings can be rationalized in a New Keynesian model.

引用

页码：689 / 701

页数：13

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