| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21576 |
| 来源ID | Working Paper 21576 |
| Monetary Policy, Bond Risk Premia, and the Economy | |
| Peter N. Ireland | |
| 发表日期 | 2015-09-21 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper develops an affine model of the term structure of interest rates in which bond yields are driven by observable and unobservable macroeconomic factors. It imposes restrictions to identify the effects of monetary policy and other structural disturbances on output, inflation, and interest rates and to decompose movements in long-term rates into terms attributable to changing expected future short rates versus risk premia. The estimated model highlights a broad range of channels through which monetary policy affects risk premia and the economy, risk premia affect monetary policy and the economy, and the economy affects monetary policy and risk premia. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21576 |
| 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/579251 |
| 推荐引用方式 GB/T 7714 | Peter N. Ireland. Monetary Policy, Bond Risk Premia, and the Economy. 2015. |
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