TY  - JOUR
AU  - Ang,Andrew
AU  - Bekaert,Geert
AU  - Wei,Min
TI  - The Term Structure of Real Rates and Expected Inflation
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12930
PY  - 2007
Y2  - February 2007
UR  - http://www.nber.org/papers/w12930
L1  - http://www.nber.org/papers/w12930.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Min Wei
Federal Reserve Board
Division of Monetary Affairs
Mail stop 74
Washington, DC 20551
E-Mail: min.wei@frb.gov
AB  - Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.
ER  -