Secular Economic Changes and Bond Yields

Autor:	Jean-Sébastien Fontaine, Bruno Feunou
Rok vydání:	2023
Předmět:	Economics and Econometrics Bond Welfare economics Economics Social Sciences (miscellaneous)
Zdroj:	The Review of Economics and Statistics. 105:408-424
ISSN:	1530-9142 0034-6535
Popis:	We build a model of bond yields in an economy with secular changes to inflation, real rate, and output growth. Long-run restrictions identify nominal shocks that do not influence the long-run real rate and output growth. Before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation. This led to a higher and steeper yield curve because the short rate was expected to peak after several quarters, following declines in the responses of growth and inflation. With inflation anchored, nominal shocks have small impacts on inflation, output, and bond yields, mostly via the term premium.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a61db3b32cf0bce43086dceb0b35aee5 https://doi.org/10.1162/rest_a_01034 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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