What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?


  • 2013 Meeting Papers


  • We study term and inflation risk premia in real and nominal bonds, respectively, in an equilibrium model calibrated to United States data. Nominal wage and price rigidities, and an interest-rate monetary policy rule characterize our model economy. Wage rigidities induce positive term and inflation risk premia for permanent productivity shocks: they generate high marginal utility, expected consumption growth, inflation, and bond yields, simultaneously. Policy and inflation-target shocks increase real and nominal yield variability, respectively. Real-nominal bond return correlations are increased by the rigidities. Stronger policy responses to output and inflation reduce real term premia and increase inflation risk premia.

fecha de publicación

  • 2013

Líneas de investigación

  • General Equilibrium
  • Monetary Policy
  • Nominal Rigidities
  • Term Structure of Interest Rates


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