G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8018
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
URLhttps://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.
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