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| 01941cam 2200301za 4500 |
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| 001 | 9.858197 |
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| 003 | CaOODSP |
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| 005 | 20221107155933 |
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| 007 | cr ||||||||||| |
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| 008 | 180627s2018 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 086 | 1 |aFB3-5/2018-24E-PDF |
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| 100 | 1 |aZhao, Guihai. |
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| 245 | 10|aAmbiguity, nominal bond yields and real bond yields |h[electronic resource] / |cby Guihai Zhao. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2018. |
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| 300 | |a46 p. : |bcol. charts. |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-24 |
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| 500 | |a"June 2018." |
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| 504 | |aIncludes bibliographical references (p. 37-41). |
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| 520 | 3 |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. |
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| 546 | |aIncludes abstract in French. |
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| 693 | 4|aBonds--Prices--Econometric models |
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| 693 | 4|aInflation |
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| 693 | 4|aInterest rates |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-24.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s944 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-24-eng.pdf |
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