Monetary policy and TIPS yields before the crisis : [Version August 24, 2011]

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.
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Metadaten
Author:Stefan Gerlach, Laura Moretti
URN:urn:nbn:de:hebis:30-115381
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,22
Series (Serial Number):CFS working paper series (2011, 22)
Document Type:Working Paper
Language:English
Year of Completion:2011
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
Issue:Version August 24, 2011
Pagenumber:12
HeBIS PPN:277082455
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E43 Determination of Interest Rates; Term Structure of Interest Rates
E52 Monetary Policy
E58 Central Banks and Their Policies
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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