کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099380 | 1377004 | 2010 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Macroeconomic models and the yield curve: An assessment of the fit
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Macroeconomic models and the yield curve: An assessment of the fit Macroeconomic models and the yield curve: An assessment of the fit](/preview/png/5099380.png)
چکیده انگلیسی
Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 8, August 2010, Pages 1343-1358
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 8, August 2010, Pages 1343-1358
نویسندگان
Jagjit S. Chadha, Sean Holly,