What caused the decline in long-term yields?

Michael Bauer and Glenn Rudebusch

FRBSF Economic Letter, 2013, issue july8

Abstract: Long-term U.S. government bond yields have trended down for more than two decades, but identifying the source of this decline is difficult. A new methodology suggests that reductions in long-run expectations of inflation and inflation-adjusted interest rates have played a significant role in the secular decline in yields. In contrast, standard statistical finance methods appear to overemphasize the effects of lower risk premiums and reduced uncertainty about future inflation.

Keywords: Government; securities; -; United; States (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfel:y:2013:i:july8:n:2013-19

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