Detalle Publicación

New keynesian macroeconomics and the term structure

Autores: Bekaert, Geert; Cho, Seonghoon; Moreno Ibáñez, Antonio
Título de la revista: JOURNAL OF MONEY CREDIT AND BANKING
ISSN: 0022-2879
ISBN: 1538-4616
Volumen: 1
Número: 42
Páginas: 33 - 62
Fecha de publicación: 2010
Resumen:
This article complements the structural New Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro model with unobservable processes for the inflation target and the natural rate of output that are filtered from macro and term structure data. We find that term structure information helps generate large and significant parameters governing the monetary policy transmission mechanism. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target shock dominates the variation in the "level factor" whereas monetary policy shocks dominate the variation in the "slope and curvature factors."
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