Title of article
A structuraldecompositionoftheUSyieldcurve
Author/Authors
FerreDeGraeve، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
15
From page
545
To page
559
Abstract
By expandingthemacropartofmacro-financemodels,historicalfluctuationsinUS
bond yieldsturnouttobelargelyconsistentwiththerationalexpectationshypothesis.
Weestimateamedium-scalemacro-financeDSGEmodelofthetermstructureto
establishthis.Ourfindingcontrastswithexistingmacro-financemodelsandsuggests
that their—small-scaleornon-structural—perspectiveonthemacroeconomymutes
expectations,therebyunderestimatingtheexpectationshypothesis’potential.Out-of-
sample forecastsarecompetitivewithmoreflexibletermstructuremodels.Giventhe
empiricalvalidation,weinterpretvariousepisodesthroughthelensofthemodeland
investigatewhichstructuralshockscausetheyieldcurvetocontaininformationabout
future growth.
Keywords
TermstructureDSGEExpectations hypothesisBayesianestimation
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846311
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