| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5791
|
| DP5791 Cyclical Wages in a Search-and-Bargaining Model with Large Firms |
| Julio J. Rotemberg
|
| 发表日期 | 2006-08-18
|
| 出版年 | 2006
|
| 语种 | 英语
|
| 摘要 | We study the relationship between the term structure of interest rates and fiscal policy by considering the Italian case. Empirical analysis has been so far rather inconclusive on this important topic. We abscribe such evidence to three problems: identification, regime-switching and maturity effects. All these aspects are particularly relevant to the Italian case. We propose a parsimonious model with three factors to represent the whole yield curve, and we consider yield differentials between Italian and German Government bonds. To take into account the possibility of regime-switching, we explicitly include a hidden two-state Markov chain that represents market expectations. The model is estimated using Bayesian econometric techniques. We find that government debt and its evolution significantly influence the yield of government bonds, that such effects are maturity dependent and regime-dependent. Hence when investigating the effect of fiscal policy on the term-structure it is of crucial importance to allow for multiple regimes in the estimation. |
| 主题 | International Macroeconomics
|
| 关键词 | Fiscal policy
Term structure
Regime switching
Bayesian estimation
|
| URL | https://cepr.org/publications/dp5791
|
| 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/534634
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推荐引用方式
GB/T 7714 |
Julio J. Rotemberg. DP5791 Cyclical Wages in a Search-and-Bargaining Model with Large Firms. 2006.
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