Roberto Gómez Cram

Roberto Gómez Cram

Contact Information

  • office Address:

    2314 Steinberg-Dietrich Hall
    3620 Locust Walk
    Philadelphia, PA 19104

Links: SSRN

Research

  • Roberto Gomez Cram and Amir Yaron, How Important Are Inflation Expectations for the Nominal Yield Curve?.

    Abstract: Less than you think. Macro-finance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal yield shocks. This paper develops and estimates a model featuring inflation non-neutrality and preference shocks. Stochastic volatility of inflation and consumption govern bond risk premia movements, while preference shocks generate volatile nominal yields. The model accounts for key bond market features, without resorting to an overly dominating expected inflation channel. The estimation shows that preference shocks are correlated with market distress factors, and that in the last two decades, inflation-related risks played a secondary role.

Activity

Latest Research

Roberto Gomez Cram and Amir Yaron, How Important Are Inflation Expectations for the Nominal Yield Curve?.
All Research