| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11730
|
| DP11730 The Term Structure and Inflation Uncertainty |
| Athanasios Orphanides
|
| 发表日期 | 2016-12-31
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | This paper develops and estimates a Quadratic-Gaussian model of the US term structure that can accommodate the rich dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent episodes of negative premia, when perceived inflation uncertainty has been considerably smaller. A decomposition of the nominal ten-year yield suggests a decline in the estimated inflation risk premium of 1.7 percentage points from the early 1980s to mid-1990s. Subsequently, its predicted value has fluctuated around zero and turned negative at times, reaching its lowest values (about -0.6 percentage points) before the latest financial crisis, in 2005-2007, and during the subsequent weak recovery, in 2010-2012. The model's ability to generate sensible estimates of the IRP has important implications for the other components of the nominal yield: expected real rates, expected inflation, and real risk premia. |
| 主题 | Financial Economics
; Monetary Economics and Fluctuations
|
| 关键词 | Quadratic-gaussian term structure models
Inflation risk premium
Survey forecasts
Hidden factors
|
| URL | https://cepr.org/publications/dp11730
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540544
|
推荐引用方式
GB/T 7714 |
Athanasios Orphanides. DP11730 The Term Structure and Inflation Uncertainty. 2016.
|
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