التفاصيل البيبلوغرافية
| العنوان: |
Monetary Policy and Bond Prices with Drifting Equilibrium Rates. |
| المؤلفون: |
Favero, Carlo A., Melone, Alessandro, Tamoni, Andrea |
| المصدر: |
Journal of Financial & Quantitative Analysis; Mar2024, Vol. 59 Issue 2, p626-651, 26p |
| مصطلحات موضوعية: |
GOVERNMENT securities, MONETARY policy, BOND prices, RATE of return on government securities, MATURITY (Finance) |
| مستخلص: |
We study the drift and cyclical components in U.S. 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 cyclical deviations of bond prices from their drift that predict bond returns in- and out-of-sample. These bond cycles can be interpreted as term premia or/and 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 with short maturities. [ABSTRACT FROM AUTHOR] |
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