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A Portfolio-Balance Model of Inflation and Yield Curve Determination
Antonio Diez de los Rios
,
Bank of Canada
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'We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitrageurs care about their real wealth, they only absorb an increase in the supply of nominal bonds if they are compensated with an increase in their real rates of return. At the same time, because the Taylor principle implies that short-term nominal rates are adjusted more than one for one in response to changes in inflation, the real return on nominal bonds depends positively on inflation. In equilibrium, inflation increases when there is an increase in the supply of nominal bonds to compensate arbitrageurs for the additional supply they have to hold'--Abstract.
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Book Details
Title
A Portfolio-Balance Model of Inflation and Yield Curve Determination
Contributors
Antonio Diez de los Rios
,
Bank of Canada
Publisher
Bank of Canada
Publication date
2020-03-09
Pages
50
FED-CAT-NO
FB3-5/2020-6E-PDF
Series
Staff Working Paper 2020-6
Subjects
A Portfolio-Balance Model of Inflation and Yield Curve Determination
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