Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/197877 
Autor:innen: 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2018-24
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve the puzzling fact that upward-sloping yield curves have persisted despite positive inflation shocks changing from negative to positive news about growth in the last twenty years. Investors make decisions using worst-case beliefs, under which the expectations hypothesis roughly holds. However, inflation and growth evolve over time under the true distribution, and this difference makes excess returns on long-term bonds predictable. The model is also consistent with the recent empirical findings on the term structure of equity returns.
Schlagwörter: 
Asset pricing
Financial markets
Interest rates
JEL: 
G00
G12
E43
Persistent Identifier der Erstveröffentlichung: 
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