| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5969 |
| DP5969 Adjustment to Target Capital, Finance and Growth | |
| Antonio Ciccone; Elias Papaioannou | |
| 发表日期 | 2006-12-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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 which are filtered from macro and term structure data. We find that term structure information helps generate large and significant estimates of the Phillips curve and real interest rate response parameters. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target dominates the variation in the 'level factor' whereas monetary policy shocks dominate the variation in the 'slope and curvature factors'. |
| 主题 | Financial Economics |
| 关键词 | monetary policy Inflation target Term structure of interest rates Phillips curve |
| URL | https://cepr.org/publications/dp5969 |
| 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/534807 |
| 推荐引用方式 GB/T 7714 | Antonio Ciccone,Elias Papaioannou. DP5969 Adjustment to Target Capital, Finance and Growth. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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