The Yield Curve and Macroeconomic Dynamics  

Oleh:

Hordahl, Peter ; Tristani, Oreste ; Vestin, David

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 118 no. 533 (Nov. 2008), page 1937.
Topik: Yield Curve; Macroeconomic Dynamics; Consumption Growth
Fulltext: 1937.pdf (516.88KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.29 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data, including sizeable term premia and volatile long-term yields, which have previously been considered puzzling in general equilibrium frameworks. At the same time, sample moments of consumption growth and inflation can be fit relatively well. The improved model performance does not arise directly from the presence of nominal rigidities. However, this feature introduces (short-run) monetary non-neutrality, so that monetary policy affects consumption dynamics and bond prices. A high degree of 'interest rate smoothing' in the policy rule is essential for our results.

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