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http://hdl.handle.net/10419/57345
  
Title:Monetary policy and TIPS yields before the crisis PDF Logo
Authors:Gerlach, Stefan
Moretti, Laura
Issue Date:2011
Series/Report no.:CFS Working Paper 2011/22
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:urn:nbn:de:hebis:30-115381
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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