کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101548 1479311 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Decomposing real and nominal yield curves
ترجمه فارسی عنوان
تجزیه منحنی های واقعی و اسمی عملکرد
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 84, December 2016, Pages 182-200
نویسندگان
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