Decomposing real and nominal yield curves

• 成果类型: Article
• 署名作者: Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; Moench, Emanuel; Yu, Rui
• 署名单位: Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - New York; Deutsche Bundesbank; University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.10.006
• 发表日期: 2016
• 页码: 182-200
• 关键词: TIPS breakevens; Expected inflation; Inflation risk premium; Affine term-structure model; liquidity risk

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.