Monetary Policy and TIPS Yields before the Crisis

Stefan Gerlach () and Laura Moretti ()

No 8560, CEPR Discussion Papers from Centre for Economic Policy Research

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: Long real interest rates; Monetary policy; Tips (search for similar items in EconPapers)
JEL-codes: E42 E58 (search for similar items in EconPapers)
Date: 2011-09
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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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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