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Data and Code for: Ambiguity, Nominal Bond Yields, and Real Bond Yields

Version
1
Resource Type
Dataset
Creator
  • Zhao, Guihai (Bank of Canada)
Publication Date
2020-05-28
Description
  • Abstract

    This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity-averse agent faces different amounts of Knightian uncertainty in the long run versus the short run; hence the model-implied nominal and real short rate expectations are upward-sloping under the agent's worst-case equilibrium beliefs. The expectations hypothesis roughly holds under investors' worst-case beliefs. The difference between the worst-case scenario and the true distribution makes realized excess returns on long-term bonds predictable.
Availability
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Update Metadata: 2020-05-28 | Issue Number: 1 | Registration Date: 2020-05-28

Zhao, Guihai (2020): Data and Code for: Ambiguity, Nominal Bond Yields, and Real Bond Yields. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E111685V1