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008180627s2018    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
0861 |aFB3-5/2018-24E-PDF
1001 |aZhao, Guihai.
24510|aAmbiguity, nominal bond yields and real bond yields |h[electronic resource] / |cby Guihai Zhao.
260 |a[Ottawa] : |bBank of Canada, |c2018.
300 |a46 p. : |bcol. charts.
4901 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-24
500 |a"June 2018."
504 |aIncludes bibliographical references (p. 37-41).
5203 |a"Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve the puzzling fact that upward-sloping yield curves have persisted despite positive inflation shocks changing from negative to positive news about growth in the last twenty years. Investors make decisions using worst-case beliefs, under which the expectations hypothesis roughly holds. However, inflation and growth evolve over time under the true distribution, and this difference makes excess returns on long-term bonds predictable. The model is also consistent with the recent empirical findings on the term structure of equity returns"--Abstract, p. ii.
546 |aIncludes abstract in French.
693 4|aBonds--Prices--Econometric models
693 4|aInflation
693 4|aInterest rates
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-24.|w(CaOODSP)9.806221
85640|qPDF|s944 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-24-eng.pdf