The Term Structure of Real Rates and Expected Inflation
构建了一个包含体制转换、时变风险价格和通胀的期限结构模型，用于分解名义收益率曲线中的实际利率、预期通胀和通胀风险溢价。研究发现美国无条件实际利率曲线在1.3%附近较为平坦，而通胀风险溢价随期限增加，解释了名义收益率曲线通常向上倾斜的现象。
ABSTRACT Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time‐varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the United States is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.