| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8018 |
| DP8018 Macroeconomics and the Term Structure | |
| Jonathan Wright; Refet Gürkaynak | |
| 发表日期 | 2010-09-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance. The topic is important to investors and also to policymakers, who wish to extract macroeconomic expectations from longer-term interest rates, and take actions to influence those rates. The simplest model of the term structure is the expectations hypothesis, which posits that long-term interest rates are expectations of future average short-term rates. In this paper, we show that many features of the configuration of interest rates are puzzling from the perspective of the expectations hypothesis. We review models that explain these anomalies using time-varying risk premia. Although the quest for the fundamental macroeconomic explanations of these risk premia is ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets in a single unified framework, we also consider an earlier approach based on segmented markets. Market segmentation seems important to understand the term structure of interest rates during the recent financial crisis. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Affine models Expectations hypothesis Financial crisis inflation Interest rates Segmented markets Term structure |
| URL | https://cepr.org/publications/dp8018 |
| 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/536855 |
| 推荐引用方式 GB/T 7714 | Jonathan Wright,Refet Gürkaynak. DP8018 Macroeconomics and the Term Structure. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
