Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates
提出一个无套利模型，将核心、食品和能源通胀纳入名义和实际利率期限结构，从名义收益率和通胀数据中提取市场通胀预期，发现核心通胀与利率共享因子结构，短期食品和能源冲击传导效应弱，模型预测优于调查预测。
Abstract We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants’ expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and interest rates and downplays the pass-through effect of short-lived food and energy shocks on inflation and interest rates. Model forecasts systematically outperform survey forecasts and other benchmarks. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.