| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13448 |
| 来源ID | Working Paper 13448 |
| No-Arbitrage Taylor Rules | |
| Andrew Ang; Sen Dong; Monika Piazzesi | |
| 发表日期 | 2007-09-27 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The no-arbitrage framework also accommodates backward-looking and forward-looking Taylor rules. We find that inflation and output gap account for over half of the variation of time-varying excess bond returns and most of the movements in the term spread. Taylor rules estimated with no-arbitrage restrictions differ from Taylor rules estimated by OLS, and the resulting monetary policy shocks are somewhat less volatile than their OLS counterparts. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13448 |
| 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/571121 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Sen Dong,Monika Piazzesi. No-Arbitrage Taylor Rules. 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 | ||
| w13448.pdf（901KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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