Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

• 成果类型: Article
• 署名作者: Joslin, Scott; Le, Anh; Singleton, Kenneth J.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.04.004
• 发表日期: 2013
• 页码: 604-622
• 关键词: Macro-finance term structure model; Filtering; No-arbitrage model; factor model

摘要

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield curves and macro-variables studied in this literature, the estimated joint distribution within a canonical MTSM is nearly identical to the estimate from an economic-model-free factor vector-autoregression (factor-VAR), even when measurement errors are large. It follows that a canonical MTSM offers no new insights into economic questions regarding the historical distribution of the macro risk factors and yields, over and above what is learned from a factor-VAR These results are rotation-invariant and, therefore, apply to many of the specifications in the literature. (c) 2013 Elsevier B.V. All rights reserved.