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Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy.

Author: Mitsuru Katagiri
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Edition/Format:   eBook : Document : English
Summary:
Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Katagiri, Mitsuru.
Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mitsuru Katagiri
ISBN: 9781484384329 1484384326
OCLC Number: 1076234516
Description: 1 online resource (43 pages)
Contents: Cover; Contents; Abstract; I. Introduction; II. Model; A. Budget Constraint; B. Monetary Policy; C. Household's Optimization and Equilibrium Yield Curve; III. Quantitative Analysis; A. Estimation of Income and Inflation Process; B. Simulation Exercise for Term Structure of Interest Rates; C. Equilibrium Yield Curve in the Low-for-Long Economy; IV. Conclusion; TABLES; 1. Estimation Results; 2. Calibration Values; 3. Stylized Facts: Shape of Yield Curves in the United States and the United Kingdom; 4. Equilibrium Yield Curve in the United States and the United Kingdom. I. DetrendingII. Robustness Check; References.

Abstract:

Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. Quantitative analyses also emphasize the importance of monetary policy, predicting that a permanently low growth and low inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.

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