| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11340 |
| 来源ID | Working Paper 11340 |
| New-Keynesian Macroeconomics and the Term Structure | |
| Geert Bekaert; Seonghoon Cho; Antonio Moreno | |
| 发表日期 | 2005-05-16 |
| 出版年 | 2005 |
| 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 an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data. We obtain 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 the monetary policy shocks dominate the variation in the "slope and curvature factors". |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w11340 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568979 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Seonghoon Cho,Antonio Moreno. New-Keynesian Macroeconomics and the Term Structure. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11340.pdf（482KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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