TY  - GEN
AB  - his paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity-averse agent faces different amounts of Knightian uncertainty in the long run versus the short run; hence the model-implied nominal and real short rate expectations are upward-sloping under the agent's worst-case equilibrium beliefs. The expectations hypothesis roughly holds under investors' worst-case beliefs. The difference between the worst-case scenario and the true distribution makes realized excess returns on long-term bonds predictable. <p> <p> Data and code for peer-reviewed article published in American Economic Review: Insights.
AD  - Bank of Canada
AU  - Zhao, Guihai
DA  - 2020-05-28
DO  - https://doi.org/10.3886/E111685V1
DO  - DOI
ID  - 4224
LA  - eng
N2  - his paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity-averse agent faces different amounts of Knightian uncertainty in the long run versus the short run; hence the model-implied nominal and real short rate expectations are upward-sloping under the agent's worst-case equilibrium beliefs. The expectations hypothesis roughly holds under investors' worst-case beliefs. The difference between the worst-case scenario and the true distribution makes realized excess returns on long-term bonds predictable. <p> <p> Data and code for peer-reviewed article published in American Economic Review: Insights.
PB  - American Economic Association
PY  - 2020-05-28
T1  - Data and Code for: Ambiguity, Nominal Bond Yields, and Real Bond Yields
TI  - Data and Code for: Ambiguity, Nominal Bond Yields, and Real Bond Yields
Y1  - 2020-05-28
ER  -