The Yield Curve and Macroeconomic Dynamics
Bibliographic Data
| ID | 9706749 |
|---|---|
| Authors | Peter Hördahl (Bank for International Settlements), Oreste Tristani (European Central Bank), David Vestin (European Central Bank) |
| Year | 2008 |
| Volume | 118 |
| Issue | 533 |
| Pages | 1937-1970 |
| Publication date | 2008-11-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2008.02197.x |
| OpenAlex | W1972228252 |
| Language | EN |
| Citations received | 3 |
| References cited | 36 |
We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data, including sizeable term premia and volatile long-term yields, which have previously been considered puzzling in general equilibrium frameworks. At the same time, sample moments of consumption growth and inflation can be fit relatively well. The improved model performance does not arise directly from the presence of nominal rigidities. However, this feature introduces (short-run) monetary non-neutrality, so that monetary policy affects consumption dynamics and bond prices. A high degree of 'interest rate smoothing' in the policy rule is essential for our results. Copyright © European Central Bank. Journal compilation © Royal Economic Society 2008
Archaeology · Dynamics (music · Economic history · Economics · Human settlement · Sociology · Yield (engineering · Economic Growth and Productivity · Fiscal Policies and Political Economy · History · Monetary Policy and Economic Impact
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| Unique citing works | 3 |
|---|---|
| Citations per year | 0,43 |
| Citation span | 2019 - 2022 (4) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 3 |