Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57345 
Year of Publication: 
2011
Series/Report no.: 
CFS Working Paper No. 2011/22
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
We make three points. First, the decade before the financial crisis in 2007 was characterized by a collapse in the yield on TIPS. Second, estimated VARs for the federal funds rate and the TIPS yield show that while monetary policy shocks had negligible effects on the TIPS yield, shocks to the latter had one-to-one effects on the federal funds rate. Third, these findings can be rationalized in a New Keynesian model.
Subjects: 
Monetary Policy
Long Real Interest Rates
TIPS
JEL: 
E43
E52
E58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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