Matches in SemOpenAlex for { <https://semopenalex.org/work/W3145231258> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W3145231258 abstract "Benchmark finance models deliver estimates of bond risk premia based on components of Treasury bond yields. Benchmark macroeconomic models deliver estimates of the natural rate of interest based on growth, inflation, and other macro factors. But estimates of the natural rate implied by the former are wildly inconsistent with those of the latter; and estimates of risk premia implied by the latter are wildly inconsistent with those of the former. This is the natural rate puzzle, and we show that it applies not only in the United States but also across several advanced economies. A unified model should not fail such consistency tests. We estimate a unified macro-finance model with long-run trend factors which delivers paths for a market-implied natural rate r* consistent with inflation expectations π* and bond risk premia. These paths are plausible and our factors improve the explanatory power of yield and return regressions. Trading strategies based on signals incorporating both r* and π* trends outperform both yield-only strategies like level and slope and strategies which only add trend inflation. The estimates from our unified model satisfy consistency and deliver a resolution to the puzzle. They show that most of the variation in yields has come from shifts in r* and π*, not from bond risk premia. Our market-implied natural rate differs from consensus estimates, and is typically lower, intensifying concerns about secular stagnation and proximity to the effective lower-bound on monetary policy in advanced economies." @default.
- W3145231258 created "2021-04-13" @default.
- W3145231258 creator A5061250633 @default.
- W3145231258 creator A5063748244 @default.
- W3145231258 creator A5065417040 @default.
- W3145231258 date "2019-01-01" @default.
- W3145231258 modified "2023-09-23" @default.
- W3145231258 title "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r" @default.
- W3145231258 hasPublicationYear "2019" @default.
- W3145231258 type Work @default.
- W3145231258 sameAs 3145231258 @default.
- W3145231258 citedByCount "0" @default.
- W3145231258 crossrefType "posted-content" @default.
- W3145231258 hasAuthorship W3145231258A5061250633 @default.
- W3145231258 hasAuthorship W3145231258A5063748244 @default.
- W3145231258 hasAuthorship W3145231258A5065417040 @default.
- W3145231258 hasConcept C10138342 @default.
- W3145231258 hasConcept C111472728 @default.
- W3145231258 hasConcept C121332964 @default.
- W3145231258 hasConcept C128263813 @default.
- W3145231258 hasConcept C13280743 @default.
- W3145231258 hasConcept C138885662 @default.
- W3145231258 hasConcept C149782125 @default.
- W3145231258 hasConcept C151541453 @default.
- W3145231258 hasConcept C154815372 @default.
- W3145231258 hasConcept C162324750 @default.
- W3145231258 hasConcept C166957645 @default.
- W3145231258 hasConcept C175025494 @default.
- W3145231258 hasConcept C176230804 @default.
- W3145231258 hasConcept C185798385 @default.
- W3145231258 hasConcept C200941418 @default.
- W3145231258 hasConcept C205649164 @default.
- W3145231258 hasConcept C2777402642 @default.
- W3145231258 hasConcept C2778136018 @default.
- W3145231258 hasConcept C2780889827 @default.
- W3145231258 hasConcept C33332235 @default.
- W3145231258 hasConcept C556758197 @default.
- W3145231258 hasConcept C69738904 @default.
- W3145231258 hasConcept C95457728 @default.
- W3145231258 hasConceptScore W3145231258C10138342 @default.
- W3145231258 hasConceptScore W3145231258C111472728 @default.
- W3145231258 hasConceptScore W3145231258C121332964 @default.
- W3145231258 hasConceptScore W3145231258C128263813 @default.
- W3145231258 hasConceptScore W3145231258C13280743 @default.
- W3145231258 hasConceptScore W3145231258C138885662 @default.
- W3145231258 hasConceptScore W3145231258C149782125 @default.
- W3145231258 hasConceptScore W3145231258C151541453 @default.
- W3145231258 hasConceptScore W3145231258C154815372 @default.
- W3145231258 hasConceptScore W3145231258C162324750 @default.
- W3145231258 hasConceptScore W3145231258C166957645 @default.
- W3145231258 hasConceptScore W3145231258C175025494 @default.
- W3145231258 hasConceptScore W3145231258C176230804 @default.
- W3145231258 hasConceptScore W3145231258C185798385 @default.
- W3145231258 hasConceptScore W3145231258C200941418 @default.
- W3145231258 hasConceptScore W3145231258C205649164 @default.
- W3145231258 hasConceptScore W3145231258C2777402642 @default.
- W3145231258 hasConceptScore W3145231258C2778136018 @default.
- W3145231258 hasConceptScore W3145231258C2780889827 @default.
- W3145231258 hasConceptScore W3145231258C33332235 @default.
- W3145231258 hasConceptScore W3145231258C556758197 @default.
- W3145231258 hasConceptScore W3145231258C69738904 @default.
- W3145231258 hasConceptScore W3145231258C95457728 @default.
- W3145231258 hasLocation W31452312581 @default.
- W3145231258 hasOpenAccess W3145231258 @default.
- W3145231258 hasPrimaryLocation W31452312581 @default.
- W3145231258 hasRelatedWork W1526964801 @default.
- W3145231258 hasRelatedWork W1854004784 @default.
- W3145231258 hasRelatedWork W2017571009 @default.
- W3145231258 hasRelatedWork W2031967598 @default.
- W3145231258 hasRelatedWork W209190425 @default.
- W3145231258 hasRelatedWork W2156144801 @default.
- W3145231258 hasRelatedWork W2278603143 @default.
- W3145231258 hasRelatedWork W2320546326 @default.
- W3145231258 hasRelatedWork W2979787323 @default.
- W3145231258 hasRelatedWork W3026992389 @default.
- W3145231258 hasRelatedWork W3041983948 @default.
- W3145231258 hasRelatedWork W3122787981 @default.
- W3145231258 hasRelatedWork W3122907891 @default.
- W3145231258 hasRelatedWork W3123214925 @default.
- W3145231258 hasRelatedWork W3125099353 @default.
- W3145231258 hasRelatedWork W3125325303 @default.
- W3145231258 hasRelatedWork W3125497568 @default.
- W3145231258 hasRelatedWork W3125553513 @default.
- W3145231258 hasRelatedWork W3125726493 @default.
- W3145231258 hasRelatedWork W3125844384 @default.
- W3145231258 isParatext "false" @default.
- W3145231258 isRetracted "false" @default.
- W3145231258 magId "3145231258" @default.
- W3145231258 workType "article" @default.