Inflation ambiguity and the term structure of US Government bonds
成果类型：
Article
署名作者：
Ulrich, Maxim
署名单位：
Columbia University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.10.015
发表日期：
2013
页码：
295-309
关键词：
摘要：
Variations in trend inflation are the main driver for variations in the nominal yield curve. According to empirical data, investors observe a set of empirical models that could all have generated the time-series for trend inflation. This set has been large and volatile during the 1970s and early 1980s and small during the 1990s. I show that log utility together with Knightian uncertainty about trend inflation can explain the term premium in U.S. Treasury bonds. The equilibrium has two inflation premiums, an inflation risk premium and a Knightian inflation ambiguity premium. (c) 2012 Elsevier B.V. All rights reserved.
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