Real and Nominal Equilibrium Yield Curves

• 成果类型: Article
• 署名作者: Hsu, Alex; Li, Erica X. N.; Palomino, Francisco
• 署名单位: University System of Georgia; Georgia Institute of Technology; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3472
• 发表日期: 2021
• 关键词: term structure of interest rates; Bond risk premia; monetary policy; nominal rigidities

摘要

This paper quantitatively explores the role of external habits, nominal rigidities, and monetary policy for real and nominal bond yields in an asset-pricing endogenous growth model. The calibration captures the reported average positive slopes of U.S. real and nominal yield curves with sizable positive real and nominal bond risk premia. Habits are critical to generate positive real premia by altering the comovement of real rates and productivity shocks. Nominal rigidities generate monetary policy effects on real bonds. Stronger policy rule inflation responses or weaker output responses increase real term premia and reduce inflation risk premia. Relative to standard models, the paper provides an alternative interpretation of real and nominal bond risks.