한국의 실질이자율의 기간구조와 인플레이션 리스크 프리미엄

Abstract

Changes in nominal interest rates must be due to either movements in real interest rates, expected infation, or the inflation risk premium. We use a term structure model with two latent and one macro-economics variable, affine term structure model. We show that the two time-varying parameters may be interpeted as factors corresponding to level and slope. An inflation risk premium increases with matuity. We find that expected inflation fully explain most of difference between nominal and real. Also the latent factor account for most of risk premium.