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 monet
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
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Metadaten
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):2011/09/14
Year of first Publication:2011
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2011/09/14
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):License Logo Veröffentlichungsvertrag für Publikationen

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