Inflation Bets on the Long Bond

• 成果类型: Article
• 署名作者: Hong, Harrison; Sraer, David; Yu, Jialin
• 署名单位: Columbia University; National Bureau of Economic Research; University of California System; University of California Berkeley; Centre for Economic Policy Research - UK; Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw090
• 发表日期: 2017
• 页码: 900
• 关键词: Disagreement; expectations; equilibrium; maturity; opinion; MARKET; TRADE; yield

摘要

The liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand larger risk premiums to hold long-term bonds. By using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since the prices of long-term bonds move more with inflation than short-term ones, investors also disagree and speculate more about long-maturity payoffs with greater uncertainty. Shorting frictions, measured by using Treasury lending fees, then lead long maturities to become overpriced and the yield curve to flatten. We estimate this inflation-betting effect using time variation in inflation disagreement and Treasury supply.