Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks

Serie

• Finance and Economics Discussion Series

Resumen

• The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model with nominal rigidities and monetary policy. The estimated model captures macroeconomic and yield curve properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both premia are positive and generated by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia. Empirical evidence of the economic mechanism is provided.

autores

• Hsu, Alex
• Li, Erica X.N.
• Palomino, Francisco

fecha de publicación

• 2016

Área temática

• D51 - Economía del intercambio y de la producción
• E43 - Tipos de interés: determinación, estructura temporal y efectos
• E44 - Mercados financieros y macroeconomía
• E52 - Política monetaria
• G12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos

Enfoque geográfico

• North America  Continent
• United States of America  Country

Líneas de investigación

• Bond Risk Premia
• Monetary Policy
• Nominal Rigidities
• Term Structure of Interest Rates

Issue

• 2016-032