| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4897
|
| DP4897 Back to Keynes? |
| Frederick van der Ploeg
|
| 发表日期 | 2005-02-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show that including a short-term interest rate and inflation in the forecasting equation improves the forecasting performance of the spread for future output but the coefficients on the short rate and inflation are difficult to interpret using a standard macroeconomic framework. A decomposition of the yield spread into an expectations-related component and a term premium allows a better understanding of the forecasting model. In fact, the best forecasting model for output is obtained by considering the term premium, the short-term interest rate and inflation as predictors. We provide a possible structural interpretation of these results by allowing for time-varying risk aversion, linearly related to our estimate of the term premium, in an intertemporal Euler equation for output. |
| 主题 | International Macroeconomics
|
| 关键词 | Yield curve
Term structure of interest rates
Predictability
Forecasting
Gdp growth
Estimated euler equation
|
| URL | https://cepr.org/publications/dp4897
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533801
|
推荐引用方式
GB/T 7714 |
Frederick van der Ploeg. DP4897 Back to Keynes?. 2005.
|
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