What accounts for the fall in UK ten-year government bond yields?
Financial 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.
Volume (Year): 52 (2012)
Issue (Month): 3 ()
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References listed on IDEAS
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- Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2016.
"Pricing Deflation Risk with US Treasury Yields,"
Review of Finance,
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- Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
- Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
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- Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
- 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.
- Smith, Tom, 2012. "Option-implied probability distributions for future inflation," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 224-234.
- Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England. Full references (including those not matched with items on IDEAS)
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