Interest rate rules and inflation risks in a macro-finance model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F22%3A10435762" target="_blank" >RIV/00216208:11230/22:10435762 - isvavai.cz</a>
Alternative codes found
RIV/61384399:31110/22:00058023
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=eF1C9lVenE" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=eF1C9lVenE</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/sjpe.12307" target="_blank" >10.1111/sjpe.12307</a>
Alternative languages
Result language
angličtina
Original language name
Interest rate rules and inflation risks in a macro-finance model
Original language description
Long-term bond yields contain a risk premium, an important part of which is compensation for inflation risks. The substantial increase in the Fed funds rate in the mid-2000s did not raise long-term US Treasury yields due to the reduction in the term premium (so-called Greenspan conundrum) which was typically thought to be exogenous for monetary policy. We show using a New Keynesian macro-finance model that the term premium is endogenous and is greatly influenced by the specification of the Taylor rule. Finally, we estimate our model using various specifications of Taylor rule on US data in 1961-2007 by the generalized methods of moments and evaluate the performance of our model.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA20-17044S" target="_blank" >GA20-17044S: Financial Markets Uncertainty: Measurement, Effects and Policy Implications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Scottish Journal of Political Economy
ISSN
0036-9292
e-ISSN
1467-9485
Volume of the periodical
69
Issue of the periodical within the volume
4
Country of publishing house
GB - UNITED KINGDOM
Number of pages
25
Pages from-to
416-440
UT code for WoS article
000730034200001
EID of the result in the Scopus database
2-s2.0-85121303528