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Persistent link: https://www.econbiz.de/10012505395
We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural...
Persistent link: https://www.econbiz.de/10003495985
Persistent link: https://www.econbiz.de/10011774152
We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural...
Persistent link: https://www.econbiz.de/10012759951
Persistent link: https://www.econbiz.de/10003507772
The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and quantitatively in a model with nominal rigidities and monetary policy. The interest-rate policy rule becomes a restriction linking real and nominal risk premia through endogenous...
Persistent link: https://www.econbiz.de/10013032008
Persistent link: https://www.econbiz.de/10009521662
United States Treasury securities are traditionally viewed in academics and practice as being free of default risk. In principle, nominal outstanding Treasury debt can always be repaid by issuing fiat currency. The same does not hold true, however, for inflation-indexed debt. This leads the...
Persistent link: https://www.econbiz.de/10012899219
Fiscal policy matters for bond risk premia. Empirically, government spending level and volatility predict excess bond returns. Shocks to government spending level and volatility are also priced in the cross-section of bond and stock portfolios. Theoretically, level shocks raise inflation when...
Persistent link: https://www.econbiz.de/10012902908
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