The term structure of real rates and expected inflation:
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...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Series: | Working paper series / National Bureau of Economic Research
12930 |
| Online Access: | Volltext |
| Summary: | 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 U.S. 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. |
| Item Description: | Literaturverz. S. 43 - 45 |
| Physical Description: | 66 S. graph. Darst. 22 cm |
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| index_date | 2024-07-02T22:41:30Z |
| indexdate | 2024-07-09T21:25:13Z |
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| spelling | Ang, Andrew Verfasser (DE-588)124420907 aut The term structure of real rates and expected inflation Andrew Ang ; Geert Bekaert ; Min Wei Cambridge, Mass. National Bureau of Economic Research 2007 66 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 12930 Literaturverz. S. 43 - 45 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 U.S. 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. Bekaert, Geert 1964- Verfasser (DE-588)128834927 aut Wei, Min 1975- Verfasser (DE-588)129357472 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 12930 (DE-604)BV002801238 12930 http://papers.nber.org/papers/w12930.pdf kostenfrei Volltext |
| spellingShingle | Ang, Andrew Bekaert, Geert 1964- Wei, Min 1975- The term structure of real rates and expected inflation |
| title | The term structure of real rates and expected inflation |
| title_auth | The term structure of real rates and expected inflation |
| title_exact_search | The term structure of real rates and expected inflation |
| title_exact_search_txtP | The term structure of real rates and expected inflation |
| title_full | The term structure of real rates and expected inflation Andrew Ang ; Geert Bekaert ; Min Wei |
| title_fullStr | The term structure of real rates and expected inflation Andrew Ang ; Geert Bekaert ; Min Wei |
| title_full_unstemmed | The term structure of real rates and expected inflation Andrew Ang ; Geert Bekaert ; Min Wei |
| title_short | The term structure of real rates and expected inflation |
| title_sort | the term structure of real rates and expected inflation |
| url | http://papers.nber.org/papers/w12930.pdf |
| volume_link | (DE-604)BV002801238 |
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