-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals - by means of labor-share variation - the component of inflation risk which is correlated with fundamentals. A simple … general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor-share, as …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with …