Monetary Policy and Bond Prices with Drifting Equilibrium Rates
研究了美国国债收益率的漂移和周期成分，发现收益率漂移反映货币政策利率漂移，利用人口、生产率趋势和长期通胀预期建模，可预测债券回报的周期偏差。
Abstract We study the drift and cyclical components in U.S. Treasury bonds. We find that bond yields are drifting because they reflect the drift in monetary policy rates. Empirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads to cyclical deviations of bond prices from their drift that predict bond returns in- and out-of-sample. These bond cycles can be interpreted as term premia or/and temporary deviations from rational expectations in a behavioral framework. Through the lens of our model, we detect a significant role of the latter in determining the cyclical properties of yields with short maturities.