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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

  • Czech description

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