Equilibrium Yield Curves [with Comments and Discussion]
Equilibrium Yield Curves [with Comments and Discussion]
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DOI：
10.1086/ma.21.25554958
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发表时间：
2006-01
影响因子：
7.7
通讯作者：
Monika Piazzesi;Martin Schneider;Pierpaolo Benigno;J. Campbell
中科院分区：
文献类型：
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作者：
Monika Piazzesi;Martin Schneider;Pierpaolo Benigno;J. Campbell
本文探讨了通货膨胀作为主要经济周期指标的作用如何影响名义债券的定价。我们研究了一个具有递归效用偏好以及外生消费增长和通货膨胀的代表性主体资产定价模型。我们在关于投资者信念演变的各种假设下求解收益率。如果通货膨胀对消费增长是个坏消息，名义收益率曲线就会向上倾斜。此外，在通货膨胀消息更难解读的时候，名义利率水平和期限利差会很高。这与20世纪80年代初等时期相关，当时人们对通货膨胀和增长的联合动态还没有很好地理解。
This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal bonds. We examine a representative agent asset pricing model with recursive utility preferences and exogenous consumption growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad news for consumption growth, the nominal yield curve slopes up. Moreover, the level of nominal interest rates and term spreads are high in times when inflation news is harder to interpret. This is relevant for periods such as the early 1980s, when the joint dynamics of inflation and growth was not well understood.