The term structure of real rates and expected inflation

• 成果类型: Article
• 署名作者: Ang, Andrew; Bekaert, Geert; Wei, Min
• 署名单位: Columbia University; National Bureau of Economic Research; Columbia University; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01332.x
• 发表日期: 2008
• 页码: 797-849
• 关键词: Regime shifts; risk premia; expectations; MARKET; INFORMATION; maturity; returns; models

摘要

Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the United States is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.