Expected Inflation and Other Determinants of Treasury Yields
研究了名义国债收益率冲击中预期通胀、实际短期利率和预期超额收益三个成分的贡献，发现预期通胀的方差仅解释收益率冲击方差的10%至20%，并对比了长期风险模型和习惯形成模型的表现。
ABSTRACT Shocks to nominal bond yields consist of news about expected future inflation, expected future real short rates, and expected excess returns—all over the bond's life. I estimate the magnitude of the first component for short‐ and long‐maturity Treasury bonds. At a quarterly frequency, variances of news about expected inflation account for between 10% to 20% of variances of yield shocks. Standard dynamic models with long‐run risk imply variance ratios close to 1. Habit formation models fare somewhat better. The magnitudes of shocks to real rates and expected excess returns cannot be determined reliably.