Monetary policy regimes: Implications for the yield curve and bond pricing

• 成果类型: Article
• 署名作者: Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico
• 署名单位: University of St Gallen
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.05.006
• 发表日期: 2014
• 页码: 427-454
• 关键词: Threshold regime switching model; Macroeconomic variables; term structure of interest rates; asset pricing; nonlinear dynamics; business cycles

摘要

We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation between interest rates and the state of the economy. In contrast to the classical term structure literature, in which nonlinearities are captured by increasing the number of latent state variables or by latent regime shifts, in our no-arbitrage framework the regimes are governed by thresholds and are directly linked to economic fundamentals. Specifically, starting from a simple monetary policy model for the short rate, we introduce a parsimonious and tractable model for the yield curve, which takes into account the possibility of regime shifts in the behavior of the Federal Reserve. In our empirical analysis, we show the merit of our approach three dimensions: interpretable bond dynamics, accurate short end yield curve pricing, and yield curve implications. (C) 2014 Elsevier B.V. All rights reserved.