کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
986514 | 1480821 | 2012 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bond risk premiums and optimal monetary policy
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The bond yield dynamics implied by a welfare-maximizing monetary policy and its credibility are explored in general equilibrium. Credibility is captured by a regime change from discretion to commitment. The policy determines the optimal output and inflation responses to a source of inflation risk. Bond yields contain compensations for this risk that depend on the policy. Credibility improvements reduce the exposure to inflation risk and bond risk premiums decline. A model calibration implies lower yield spreads, less volatile yields, and reduced deviations from the expectations hypothesis under commitment. The model suggests an explanation for changes in yield dynamics in the U.S. across different policy regimes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Economic Dynamics - Volume 15, Issue 1, January 2012, Pages 19–40
Journal: Review of Economic Dynamics - Volume 15, Issue 1, January 2012, Pages 19–40
نویسندگان
Francisco Palomino,