Monetary policy and TIPS yields before the crisis
We make three points. First, the decade before the financial crisis in 2007 was characterized by a collapse in the yield on TIPS. Second, estimated VARs for the federal funds rate and the TIPS yield show that while monetary policy shocks had negligible effects on the TIPS yield, shocks to the latter had one-to-one effects on the federal funds rate. Third, these findings can be rationalized in a New Keynesian model. JEL Classification: E43, E52, E58 Keywords: Monetary Policy, Long Real Interest Rates, TIPS
| Author: | Stefan Gerlach, Laura Moretti |
|---|---|
| URN: | urn:nbn:de:hebis:30-115381 |
| Series (Serial Number) | CFS working paper series (2011, 22) |
| Document Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 14.09.2011 |
| Year of first Publication: | 2011 |
| Publishing Institution: | Univ.-Bibliothek Frankfurt am Main |
| Tag: | TIPS; long real interest rates ; monetary policy |
| HeBIS PPN: | 277082455 |
| Institutes: | Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Veröffentlichungsvertrag für Publikationen ohne Print on Demand |
