Αποδόσεις ομολόγων και πληθωριστικές προσδοκίες στην (μετά) COVID-19 εποχή
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Keywords
Καμπύλη επιτοκίων ; Προσδοκίες πληθωρισμού ; Νομισματική πολιτική ; COVID-19 ; Κυβερνητικά ομόλογα μηδενικού τοκομεριδίου ΗΠΑAbstract
This study examines the effect of inflation expectations on the term structure of
zero-coupon Treasury bonds during the COVID-19 period. Firstly, I present the
theoretical framework around bonds and monetary policy as well as the
economic and financial consequences of the pandemic. Consequently, Ι
summarize a sample of the literature which studies the relation between
inflation expectations and the term structure of bond yields. Finally, the
empirical methodology is described. I used a constant maturity yield model with
inflation expectations as the main explanatory variable along with two term
structure latent factors. In conclusion, this study finds that the effect of inflation
expectations on the yield curve was decreased during the pandemic due to the
asset purchasing programs that Fed initiated.