{"title":"具有漂移均衡利率和诊断预期的货币政策与债券价格","authors":"Carlo A. Favero, Alessandro Melone, A. Tamoni","doi":"10.2139/ssrn.3704241","DOIUrl":null,"url":null,"abstract":"We study drift and cyclical components in Treasury bonds. \nWe find that bond yields are drifting because they reflect the drift in monetary policy rates. \nEmpirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads to stationary cyclical deviations of bond prices from their drift that predict U.S. bond excess returns in- and out-of-sample. \nThese bond cycles can originate from either term premia or temporary deviations from rational expectations in a behavioral framework. \nThrough the lens of our model, we detect a significant role of the latter in determining the cyclical properties of yields.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Monetary Policy and Bond Prices with Drifting Equilibrium Rates and Diagnostic Expectations\",\"authors\":\"Carlo A. Favero, Alessandro Melone, A. Tamoni\",\"doi\":\"10.2139/ssrn.3704241\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study drift and cyclical components in Treasury bonds. \\nWe find that bond yields are drifting because they reflect the drift in monetary policy rates. \\nEmpirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads to stationary cyclical deviations of bond prices from their drift that predict U.S. bond excess returns in- and out-of-sample. \\nThese bond cycles can originate from either term premia or temporary deviations from rational expectations in a behavioral framework. \\nThrough the lens of our model, we detect a significant role of the latter in determining the cyclical properties of yields.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-10-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3704241\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3704241","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Monetary Policy and Bond Prices with Drifting Equilibrium Rates and Diagnostic Expectations
We study drift and cyclical components in Treasury bonds.
We find that bond yields are drifting because they reflect the drift in monetary policy rates.
Empirically, modeling the monetary policy drift using demographics and productivity trends, plus long-term inflation expectations, leads to stationary cyclical deviations of bond prices from their drift that predict U.S. bond excess returns in- and out-of-sample.
These bond cycles can originate from either term premia or temporary deviations from rational expectations in a behavioral framework.
Through the lens of our model, we detect a significant role of the latter in determining the cyclical properties of yields.