What accounts for the fall in UK ten-year government bond yields?
AbstractFinancial market measures of future interest rates and inflation rates can provide useful and timely information for policymakers. Recent advances in yield curve modelling have improved the Bank’s capacity to extract policy-relevant information from these market measures. Such models suggest that the fall in the yield on UK ten-year nominal government bonds since the onset of the financial crisis largely reflects lower expectations of real interest rates at shorter horizons, consistent with an expectation that policy rates will remain low for some time. The model estimates also indicate that inflation expectations have been relatively stable, and suggest that there are no signs that they have become less well anchored.
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Bibliographic InfoArticle provided by Bank of England in its journal Bank of England Quarterly Bulletin.
Volume (Year): 52 (2012)
Issue (Month): 3 ()
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
- Philippe Mueller & Mikhail Chernov, 2008.
"The Term Structure of Inflation Expectations,"
2008 Meeting Papers
346, Society for Economic Dynamics.
- Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010.
"Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves,"
Journal of Banking & Finance,
Elsevier, vol. 34(2), pages 281-294, February.
- Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009. "Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves," Bank of England working papers 360, Bank of England.
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