UK term structure decompositions at the zero lower bound
使用零利率下限影子利率模型分解英国名义收益率，发现该模型比标准模型更能捕捉收益率曲线特征，并估计出1990年代以来通胀预期波动收窄，表明通胀目标制提升了货币政策可信度。
Summary This paper employs a zero lower bound (ZLB) consistent shadow‐rate model to decompose UK nominal yields into expectation and term premium components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting by capturing the stylized facts of the yield curve. The ZLB model is then exploited to estimate inflation expectations and risk premiums. This entails jointly pricing and decomposing nominal and real UK yields. We find evidence that medium‐ and long‐term inflation expectations are contained within narrower bounds since the early 1990s, suggesting monetary policy credibility improved after the introduction of inflation targeting.