کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
967813 931405 2009 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A structural decomposition of the US yield curve
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A structural decomposition of the US yield curve
چکیده انگلیسی

By expanding the macro part of macro-finance models, historical fluctuations in US bond yields turn out to be largely consistent with the rational expectations hypothesis. We estimate a medium-scale macro-finance DSGE model of the term structure to establish this. Our finding contrasts with existing macro-finance models and suggests that their—small-scale or non-structural—perspective on the macroeconomy mutes expectations, thereby underestimating the expectations hypothesis’ potential. Out-of-sample forecasts are competitive with more flexible term structure models. Given the empirical validation, we interpret various episodes through the lens of the model and investigate which structural shocks cause the yield curve to contain information about future growth.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 56, Issue 4, May 2009, Pages 545–559
نویسندگان
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