Real risk, inflation risk, and the term structure
Bibliographic Data
| ID | 9720751 |
|---|---|
| Authors | Martin D D Evans (0000-0001-9366-3054, Georgetown University and NBER, corresponding author) |
| Year | 2003 |
| Volume | 113 |
| Issue | 487 |
| Pages | 345-389 |
| Publication date | 2003-04-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00130 |
| OpenAlex | W2233901886 |
| Language | EN |
| Citations received | 2 |
| References cited | 38 |
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
The Econometrics of Financial Markets
Time Series Analysis
Large Sample Properties of Generalized Method of Moments Estimators
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
An Analysis of the Real Interest Rate Under Regime Shifts
Some Lessons from the Yield Curve
| Citations per year | 0.09 |
|---|---|
| Citation span | 2004 - 2007 (4) |
| Highly cited | No |