| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22839 |
| 来源ID | Working Paper 22839 |
| Macro Risks and the Term Structure of Interest Rates | |
| Geert Bekaert; Eric Engstrom; Andrey Ermolov | |
| 发表日期 | 2016-11-21 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We extract aggregate supply and aggregate demand shocks for the US economy from macroeconomic data on inflation, real GDP growth, core inflation and the unemployment gap. We first use unconditional non-Gaussian features in the data to achieve identification of these structural shocks while imposing minimal economic assumptions. We find that recessions in the 1970s and 1980s are better characterized as driven by supply shocks while later recessions were driven primarily by demand shocks. The Great Recession exhibited large negative shocks to both demand and supply. We then use conditional (time-varying) non-Gaussian features of the structural shocks to estimate "macro risk factors" for supply and demand shocks that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and demand shocks. The Great Moderation, a general decline in the volatility of many macroeconomic time series since the 1980s, is mostly accounted for by a reduction in the good demand variance risk factor. In contrast, the risk factors driving bad variance for both supply and demand shocks, which account for most recessions, show no secular decline. Finally, we find that macro risks significantly contribute to the variation in yields, bond risk premiums and the term premium. While overall bond risk premiums are counter-cyclical, an increase in bad demand variance is associated with lower risk premiums on bonds. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22839 |
| 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/580513 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Eric Engstrom,Andrey Ermolov. Macro Risks and the Term Structure of Interest Rates. 2016. |
| 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 | ||
| w22839.pdf（753KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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