UK term structure decompositions at the zero lower bound
UK term structure decompositions at the zero lower bound
复制标题
英国零下限的期限结构分解
DOI：
10.1002/jae.2635
复制
发表时间：
2018
影响因子：
2.1
通讯作者：
Carriero A
中科院分区：
文献类型：
--
作者：
Carriero A
本文采用零下限（ZLB）一致影子利率模型将英国名义收益率分解为预期和期限溢价部分。与标准仿射期限结构模型相比，它通过捕获收益率曲线的风格化事实，在ZLB设置中表现相对更好。然后利用ZLB模型来估计通胀预期和风险溢价。这需要对英国名义收益率和实际收益率进行联合定价和分解。我们发现有证据表明，自20世纪90年代初以来，中长期通胀预期被控制在较窄的范围内，这表明在引入通胀目标制后，货币政策的可信度得到了提高。
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.