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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Government Policy Uncertainty and the Yield Curve |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | SSRN |
| Number | 2664116 |
| ISSN | 1556-5068 |
| Date | 2017 |
| Abstract Text | We study the impact of economic policy uncertainty on the term structure of nominal interest rates. We develop a general equilibrium model, in which both the government and the central bank policy decisions are driven by uncertainty shocks. Our affine yield curve model captures both the shape of the interest rate term structure as well as the hump-shape of bond yield volatilities. Our theoretical predictions are strongly supported by the data. Higher economic policy uncertainty leads to a significant decline in yield levels, induces a hump-shaped increase in bond yield volatility, and increases bond risk premia, especially for longer maturities. |
| Free access at | Official URL |
| Official URL | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2664116 |
| Other Identification Number | merlin-id:16296 |
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| Additional Information | Previous version: "Economic Policy Uncertainty and the Yield Curve" (October 2015) |