Financial Intermediaries and the Yield Curve

• 成果类型: Article; Early Access
• 署名作者: Schneider, Andres
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf102
• 发表日期: 2026-03-09
• 关键词: E43; E44; G12; G20; term structure; asset prices; MODEL; inflation; liquidity; shocks

摘要

I study the yield curve dynamics in a general equilibrium model with financial intermediaries facing financing constraints. When constraints bind, intermediaries reallocate their portfolios, causing deadweight losses in aggregate consumption, thus affecting savers' marginal utility. Because the yield curve is a forecast of marginal utility, intermediaries' constraints show up, via general equilibrium forces, in long-term yields. I show that the mechanism connecting intermediaries' constraints and long-term yields produces highly nonlinear interest rate dynamics and a positive real term premium in equilibrium. I extend the analysis to the nominal yield curve using a simple Taylor rule.