Real risk, inflation risk, and the term structure

Datos Bibliográficos

ID9720751
AutoresMartin D D Evans (0000-0001-9366-3054, Georgetown University and NBER, autor de correspondencia)
Año2003
Volumen113
Número487
Páginas345-389
Fecha de publicación2003-04-01
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/1468-0297.00130
OpenAlexW2233901886
IdiomaEN
Citas recibidas2
Referencias citadas38

I present a model for the term structures of nominal and real interest rates in the UK that incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia. The model is used to assess how accurately the term structure reflects changing expectations of future yields and inflation. I find that variations in inflation expected over the next two to three years are very accurately reflected by current yields. Over longer horizons, the term structures closely track changing expectations regarding future nominal and real yields but not future inflation

Econometrics · Economics · Flexibility (engineering · Inflation (cosmology · Interest rate · Macroeconomics · Markov chain · Physics · Real interest rate · Risk premium · Term (time · Yield curve · Computer Science · Economic, financial, and policy analysis · Monetary Policy and Economic Impact · Stochastic processes and financial applications

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