| Nº Sistema |
000472769 |
| Autor |
 Ehling, Paul |
| Autor |
Gallmeyer; Michael |
|
Heyerdahl-Larsen, Christian |
|
Illeditsch, Phillip |
| Título |
Disagreement about inflation and the yield curve [Recurso electrónico] / Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen,. |
| Publicado en |
Journal of Financial Economics [Artículos], v. 127, n. 3, March 2018, p. 459-484 |
| Nota general |
Artículo de revista |
| Resumen |
We show that inflation disagreement, not just expected inflation, has an impact on nominal interest rates. In contrast to expected inflation, which mainly affects the wedge between real and nominal yields, inflation disagreement affects nominal yields predominantly through its impact on the real side of the economy. We show theoretically and empirically that inflation disagreement raises real and nominal yields and their volatilities. Inflation disagreement is positively related to consumers’ cross-sectional consumption growth volatility and trading in fixed income securities. Calibrating our model to disagreement, inflation, and yields reproduces the economically significant impact of inflation disagreement on yield curves. (C) 2018 Elsevier B.V. All rights reserved. [Resumen de la editorial] [eng] |
| Restricciones |
Acceso a la versión electrónica RESTRINGIDO por IP al personal del Banco de España |
| Acceso electrónico |
 Acceso al texto completo. |
| Relacionado con |
Documentos de Trabajo / Banco de España; 1532 |
| Clasificación |
E2-Teoría monetaría. |
|
G64-Valoración de activos. |
|
D4-Equilibrio general. |
|
E3-Política monetaria. |
