Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy
用美英数据表明，通胀与长期收入增长负相关、与周期性收入正相关，从而在消费资产定价模型中同时复制出向上倾斜的收益率曲线和菲利普斯曲线。
Abstract Upward‐sloping yield curves are hard to reconcile with the positive relationship between income and inflation (the Phillips curve) in consumption‐based asset pricing models. Using the U.S. and the UK data, this paper shows inflation is negatively correlated with long‐run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. According to the model, a permanently low‐growth and low‐inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.