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• W2186002278 endingPage "2180" @default.
• W2186002278 startingPage "2139" @default.
• W2186002278 abstract "ABSTRACT Shocks to nominal bond yields consist of news about expected future inflation, expected future real short rates, and expected excess returns—all over the bond's life. I estimate the magnitude of the first component for short‐ and long‐maturity Treasury bonds. At a quarterly frequency, variances of news about expected inflation account for between 10% to 20% of variances of yield shocks. Standard dynamic models with long‐run risk imply variance ratios close to 1. Habit formation models fare somewhat better. The magnitudes of shocks to real rates and expected excess returns cannot be determined reliably." @default.
• W2186002278 created "2016-06-24" @default.
• W2186002278 creator A5074887060 @default.
• W2186002278 date "2018-07-12" @default.
• W2186002278 modified "2023-10-06" @default.
• W2186002278 title "Expected Inflation and Other Determinants of Treasury Yields" @default.
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• W2186002278 doi "https://doi.org/10.1111/jofi.12700" @default.
• W2186002278 hasPublicationYear "2018" @default.
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