Gateway to Think Tanks
来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w13245 |
来源ID | Working Paper 13245 |
Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models | |
Michael F. Gallmeyer; Burton Hollifield; Francisco Palomino; Stanley E. Zin | |
发表日期 | 2007-07-08 |
出版年 | 2007 |
语种 | 英语 |
摘要 | We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural macroeconomic models. We explore whether richer models of risk premiums, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is endogenous and determined through an interest-rate/Taylor rule. When inflation is exogenous, it is difficult to match the shape of the historical average yield curve. Capturing its upward slope is especially difficult as the nominal pricing kernel with exogenous inflation does not exhibit any negative autocorrelation - a necessary condition for an upward sloping yield curve as shown in Backus and Zin (1994). Endogenizing inflation provides a substantially better fit of the historical yield curve as the Taylor rule provides additional flexibility in introducing negative autocorrelation into the nominal pricing kernel. Additionally, endogenous inflation provides for a flatter term structure of yield volatilities which better fits historical bond data. |
主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets |
URL | https://www.nber.org/papers/w13245 |
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/570914 |
推荐引用方式 GB/T 7714 | Michael F. Gallmeyer,Burton Hollifield,Francisco Palomino,et al. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models. 2007. |
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 | ||
w13245.pdf(669KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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。