IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

What accounts for the fall in UK ten-year government bond yields?

  • Guimarães , Rodrigo

    ()

    (Bank of England)

Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.bankofengland.co.uk/publications/Documents/quarterlybulletin/qb120302.pdf
    File Function: Full text
    Download Restriction: no

    Article provided by Bank of England in its journal Bank of England Quarterly Bulletin.

    Volume (Year): 52 (2012)
    Issue (Month): 3 ()
    Pages: 213-223

    as
    in new window

    Handle: RePEc:boe:qbullt:0082
    Contact details of provider: Postal: Publications Group Bank of England Threadneedle Street London EC2R 8AH
    Phone: +44 (0)171 601 4030
    Fax: +44 (0)171 601 5196
    Web page: http://www.bankofengland.co.uk/
    Email:


    More information through EDIRC

    References listed on IDEAS
    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.:

    as in new window
    1. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    2. 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.
    3. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    4. 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.
    5. Smith, Tom, 2012. "Option-implied probability distributions for future inflation," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 224-234.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:boe:qbullt:0082. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Publications Group)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.