Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates

• 成果类型: Article
• 署名作者: Ajello, Andrea; Benzoni, Luca; Chyruk, Olena
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz094
• 发表日期: 2020
• 页码: 3719
• 关键词: inflation risk premia; REAL INTEREST-RATES; yield curve; bond yields; structure models; monetary-policy; expectations; US; identification; DYNAMICS

摘要

We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants' expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and interest rates and downplays the pass-through effect of short-lived food and energy shocks on inflation and interest rates. Model forecasts systematically outperform survey forecasts and other benchmarks.