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We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation expectations in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate...
Persistent link: https://www.econbiz.de/10010891737
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We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate expectations at various future...
Persistent link: https://www.econbiz.de/10008725979
We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data, including sizeable term premia and volatile long-term yields, which have previously been considered puzzling in general equilibrium frameworks. At the same time, sample...
Persistent link: https://www.econbiz.de/10005570612
Persistent link: https://www.econbiz.de/10008135022
We construct and estimate a joint model of macroeconomic and yield curve dynamics. A small-scale backward/forward-looking rational expectations model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived assuming absence of...
Persistent link: https://www.econbiz.de/10012738963
This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro...
Persistent link: https://www.econbiz.de/10012711361
We identify stylised facts in the relationship between macroeconomic conditions and the evolution of yields and yield premia over 40 years of U.S. data. In order to constrain our estimates, we ask our model to fit not just yields and macro data, but also survey information on inflation and...
Persistent link: https://www.econbiz.de/10012706725
We construct and estimate a joint model of macroeconomic and yield curve dynamics. A small-scale rational expectations model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived assuming absence of arbitrage opportunities and a...
Persistent link: https://www.econbiz.de/10012785110