Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds

• 成果类型: Article
• 署名作者: Bok, Brandyn; Mertens, Thomas M.; Williams, John C.
• 署名单位: University of California System; University of California Los Angeles; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104130
• 发表日期: 2025
• 关键词: Uncertainty shocks; Inflation-uncertainty correlations; zero lower bound

摘要

The correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates declined and turned negative after the Great Recession. This estimated time-varying correlation is shown to be consistent with the predictions of a standard New Keynesian model with a lower bound on interest rates and a trend decline in the natural rate of interest. In one equilibrium of the model, higher uncertainty raises the probability of large shocks that leave the central bank constrained by the lower bound and unable to offset negative shocks. Resulting inflation shortfalls lower average inflation rates.