How Important Are Inflation Expectations for the Nominal Yield Curve?

• 成果类型: Article
• 署名作者: Gomez-Cram, Roberto; Yaron, Amir
• 署名单位: University of London; London Business School; University of Pennsylvania; National Bureau of Economic Research; Bank of Israel
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa039
• 发表日期: 2021
• 页码: 985
• 关键词: Long-run risks; term structure; monetary-policy; interest-rates; consumption; MODEL; bond; explanation; INFORMATION; returns

摘要

Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected inflation channel. The estimation shows that preference shocks are strongly negatively correlated with market distress factors and that real rate news is the dominant driver of nominal yield shocks.