1 option
The Term Structure of Real Rates and Expected Inflation / Andrew Ang, Geert Bekaert, Min Wei.
- Format:
- Book
- Author/Creator:
- Ang, Andrew.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12930.
- NBER working paper series no. w12930
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2007.
- Summary:
- Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.
- Notes:
- Print version record
- February 2007.
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