A structural decomposition of the US yield curve

• 成果类型: Article
• 署名作者: De Graeve, Ferre; Emiris, Marina; Wouters, Raf
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas; European Central Bank; National Bank of Belgium
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.03.013
• 发表日期: 2009
• 页码: 545-559
• 关键词: term structure; DSGE; expectations hypothesis; Bayesian estimation

摘要

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. (C) 2009 Elsevier B.V. All rights reserved.