How Important Are Inflation Expectations for the Nominal Yield Curve?
研究发现，传统模型过度依赖通胀预期来解释名义债券收益波动，而偏好冲击和实际利率新闻才是主要驱动因素，这对理解债券定价和货币政策有参考价值。
Abstract Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected inflation channel. The estimation shows that preference shocks are strongly negatively correlated with market distress factors and that real rate news is the dominant driver of nominal yield shocks.