| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16629 |
| DP16629 Monetary Policy and Bond Prices with Drifting Equilibrium Rates | |
| Carlo A. Favero; Andrea Tamoni; Alessandro Melone | |
| 发表日期 | 2021-10-13 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they reflect the drift in monetary policy rates. Empirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads to cyclical deviations of bond prices from their drift that predict bond returns in- and out-of-sample. These bond cycles can originate from term premia or temporary deviations from rational expectations in a behavioral framework. Through the lens of our model, we detect a significant role of the latter in determining the cyclical properties of yields with short maturities. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Monetary policy rule Secular trends Term structure Diagnostic expectations Bond return predictability |
| URL | https://cepr.org/publications/dp16629 |
| 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/545571 |
| 推荐引用方式 GB/T 7714 | Carlo A. Favero,Andrea Tamoni,Alessandro Melone. DP16629 Monetary Policy and Bond Prices with Drifting Equilibrium Rates. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
