Secular Economic Changes and Bond Yields
构建了一个考虑通胀、实际利率和产出增长长期变化的债券收益率模型，发现通胀锚定前后名义冲击对收益率曲线的影响截然不同。
Abstract We build a model of bond yields in an economy with secular changes to inflation, real rate, and output growth. Long-run restrictions identify nominal shocks that do not influence the long-run real rate and output growth. Before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation. This led to a higher and steeper yield curve because the short rate was expected to peak after several quarters, following declines in the responses of growth and inflation. With inflation anchored, nominal shocks have small impacts on inflation, output, and bond yields, mostly via the term premium.