The term structure and inflation uncertainty

• 成果类型: Article
• 署名作者: Breach, Tomas; D'Amico, Stefania; Orphanides, Athanasios
• 署名单位: University of California System; University of California Berkeley; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.013
• 发表日期: 2020
• 页码: 388-414
• 关键词: Quadratic-Gaussian term structure models; Inflation risk premium; Survey forecasts; Hidden factors

摘要

To assess the importance of inflation risk for nominal Treasury yields, a novel quadratic term structure model with time-varying inflation risk is estimated using survey-based inflation uncertainty. The resulting yield decomposition captures very diverse macroeconomic dynamics of inflation and real risk premiums (large and positive during the 1980s but small and negative post-2008) and generates sensible high-frequency estimates of expected inflation and real short rates over a long sample. The explicit link between the model-implied factors and macro fundamentals reveals that shortbut not long-run fluctuations are unspanned by yields, consistent with an interest rate policy unresponsive to transient inflation shocks. (C) 2020 Published by Elsevier B.V.