Monetary policy and TIPS yields before the crisis

Stefan Gerlach () and Laura Moretti ()

No 2011/22, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: 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.

Keywords: Monetary Policy; Long Real Interest Rates; TIPS (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Monetary policy and TIPS yields before the crisis (2014)
Working Paper: Monetary Policy and TIPS Yields before the Crisis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:201122

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