THE YIELD CURVE AND MACROECONOMIC DYNAMICS

• 成果类型: Article; Proceedings Paper
• 署名作者: Hoerdahl, Peter; Tristani, Oreste; Vestin, David
• 署名单位: Bank for International Settlements (BIS)
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2008.02197.x
• 发表日期: 2008
• 页码: 1937-1970
• 关键词: monetary-policy rules; affine term structure; interest-rates; habit formation; risk premia; models; consumption; inflation; economies; STABILITY

摘要

We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data, including sizeable term premia and volatile long-term yields, which have previously been considered puzzling in general equilibrium frameworks. At the same time, sample moments of consumption growth and inflation can be fit relatively well. The improved model performance does not arise directly from the presence of nominal rigidities. However, this feature introduces (short-run) monetary non-neutrality, so that monetary policy affects consumption dynamics and bond prices. A high degree of 'interest rate smoothing' in the policy rule is essential for our results.