A macro-finance model of the term structure, monetary policy and the economy

• 成果类型: Article
• 署名作者: Rudebusch, Glenn D.; Wu, Tao
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2008.02155.x
• 发表日期: 2008
• 页码: 906-926
• 关键词: interest-rates; macro factors; no-arbitrage; yield curve; inflation; MARKET

摘要

This article develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure of interest rates with standard macroeconomic aggregate relationships for output and inflation. Based on this combination of yield curve and macroeconomic structure and data, we obtain several interesting results: (1) the latent term structure factors from no-arbitrage finance models appear to have important macroeconomic and monetary policy underpinnings, (2) there is no evidence of a slow partial adjustment of the policy interest rate by the central bank, and (3) both forward-looking and backward-looking elements play roles in macroeconomic dynamics.