| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12930 |
| 来源ID | Working Paper 12930 |
| The Term Structure of Real Rates and Expected Inflation | |
| Andrew Ang; Geert Bekaert; Min Wei | |
| 发表日期 | 2007-02-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12930 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570596 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Geert Bekaert,Min Wei. The Term Structure of Real Rates and Expected Inflation. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12930.pdf（375KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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