Expected Inflation and Other Determinants of Treasury Yields

• 成果类型: Article
• 署名作者: Duffee, Gregory R.
• 署名单位: Johns Hopkins University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12700
• 发表日期: 2018
• 页码: 2139-2180
• 关键词: term structure models; interest-rates; variance decomposition; monetary-policy; risk premia; REAL RATES; long-run; expectations; DYNAMICS; US

摘要

Shocks to nominal bond yields consist of news about expected future inflation, expected future real short rates, and expected excess returnsall over the bond's life. I estimate the magnitude of the first component for short- and long-maturity Treasury bonds. At a quarterly frequency, variances of news about expected inflation account for between 10% to 20% of variances of yield shocks. Standard dynamic models with long-run risk imply variance ratios close to 1. Habit formation models fare somewhat better. The magnitudes of shocks to real rates and expected excess returns cannot be determined reliably.