000004224 001__ 4224
000004224 005__ 20250303150306.0
000004224 0247_ $$ahttps://doi.org/10.3886/E111685V1$$2DOI
000004224 02470 $$ahttps://doi.org/10.3886/E111685$$2DOI
000004224 041__ $$aeng
000004224 084__ $$aE43 Interest Rates: Determination, Term Structure, and Effects$$03039
000004224 084__ $$aG00 General$$03124
000004224 084__ $$aG12 Asset Pricing; Trading Volume; Bond Interest Rates$$03129
000004224 245__ $$aData and Code for: Ambiguity, Nominal Bond Yields, and Real Bond Yields
000004224 251__ $$a1
000004224 260__ $$bAmerican Economic Association
000004224 269__ $$a2020-05-28
000004224 336__ $$aDataset
000004224 506__ $$aFiles may be downloaded from digital repository linked in the DOI field
000004224 520__ $$ahis 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.$$7Abstract
000004224 540__ $$aCreative Commons Attribution 4.0 International$$uhttps://creativecommons.org/licenses/by/4.0/legalcode$$fCC-BY-4.0
000004224 7001_ $$aZhao, Guihai$$7Personal$$uBank of Canada$$3https://ror.org/05cc98565$$5ROR
000004224 791__ $$aJournalArticle$$eIsSupplementTo$$iReproducibility package is associated with peer-reviewed article$$w10.1257/aeri.20190155$$c2020$$dAmerican Economic Review: Insights (American Economic Association)$$tAmbiguity, Nominal Bond Yields, and Real Bond Yields$$2DOI$$j2$$k2$$q177$$o192
000004224 791__ $$aText$$eIsSupplementTo$$iAssociated article is first published as Bank of Canada Staff Working Paper$$w10.34989/swp-2018-24$$c2018$$dBank of Canada$$tAmbiguity, Nominal Bond Yields and Real Bond Yields$$2DOI$$jStaff Working Paper$$k2018-24
000004224 8301_ $$aReproducibility Package
000004224 8301_ $$aEnsemble de données pour la reproductibilité des résultats de recherche
000004224 909CO $$ooai:www.oar-rao.bank-banque-canada.ca:4224$$pbibliographic
000004224 937__ $$aZhao, G$$b2020$$cAmbiguity, Nominal Bond Yields, and Real Bond Yields$$dAmerican Economic Review: Insights$$e2$$f2$$ghttps://doi.org/10.1257/aeri.20190155
000004224 980__ $$aStaff Research
000004224 980__ $$aRDM
000004224 980__ $$aResearch Reproducibility Packages
000004224 991__ $$aPublic