Arbeitspapier
Monetary policy and TIPS yields before the crisis
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2011/22
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Central Banks and Their Policies
- Thema
-
Monetary Policy
Long Real Interest Rates
TIPS
Finanzmarkt
Geldpolitik
Wertpapierhandel
Indexierung
Zins
Kapitalertrag
Finanzmarktkrise
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gerlach, Stefan
Moretti, Laura
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- URN
-
urn:nbn:de:hebis:30-115381
- Letzte Aktualisierung
-
09.05.20252025, 12:56 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Gerlach, Stefan
- Moretti, Laura
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2011
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