Macroeconomic linkages between monetary policy and the term structure of interest rates

• 成果类型: Article
• 署名作者: Kung, Howard
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.09.006
• 发表日期: 2015
• 页码: 42-57
• 关键词: term structure of interest rates; asset pricing; recursive preferences; monetary policy; endogenous growth; inflation; PRODUCTIVITY

摘要

This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive low-frequency movements in growth and inflation rates that are negatively related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in bond markets. When calibrated to macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields and the failure of the expectations hypothesis. (C) 2014 Elsevier B.V. All rights reserved.