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来源类型Working Paper
规范类型报告
DOI10.3386/w13245
来源IDWorking 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
URLhttps://www.nber.org/papers/w13245
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/570914
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GB/T 7714
Michael F. Gallmeyer,Burton Hollifield,Francisco Palomino,et al. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models. 2007.
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