Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/167557
Autoren: 
Bauer, Michael D.
Rudebusch, Glenn D.
Datum: 
2017
Schriftenreihe/Nr.: 
CESifo Working Paper No. 6571
Zusammenfassung: 
Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key determinants of the term structure of interest rates. However, term structure analyses generally assume that these endpoints are constant. Instead, we show that allowing for time variation in both r*t and ð*t is crucial for understanding the empirical dynamics of U.S. Treasury yields and risk pricing. Our evidence reveals that accounting for fluctuations in both r*t and ð*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of the term premium in long-term interest rates, and captures a substantial share of interest rate variability at low frequencies.
Schlagwörter: 
yield curve
macro-finance
inflation trend
equilibrium real interest rate
shifting endpoints
bond risk premia
JEL: 
E43
E44
E47
Dokumentart: 
Working Paper

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