A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy
Bibliographic Data
| ID | 9710893 |
|---|---|
| Authors | Glenn D Rudebusch (0000-0003-0989-6184, Federal Reserve Bank of San Francisco), Tao Wu (0000-0002-0133-6783, Federal Reserve Bank of Dallas) |
| Year | 2008 |
| Volume | 118 |
| Issue | 530 |
| Pages | 906-926 |
| Publication date | 2008-07-01 |
| 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.1468-0297.2008.02155.x |
| OpenAlex | W2137363566 |
| Language | EN |
| Citations received | 11 |
| References cited | 36 |
This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure with standard macroeconomic aggregate relationships for output and inflation. From this new empirical formulation, we obtain several interesting results: (1) the latent term structure factors from finance no-arbitrage models appear to have important macroeconomic and monetary policy underpinnings, (2) there is no evidence of monetary policy inertia or a slow partial adjustment of the policy interest rate by the Federal Reserve, and (3) both forward-looking and backward-looking elements play important roles in macroeconomic dynamics
Affine term structure model · Arbitrage · Econometrics · Economics · Inflation (cosmology · Interest rate · Macro · Macroeconomic model · Macroeconomics · Monetary policy · Term (time · Yield curve · Economic theories and models · Economic Theory and Policy · Finance · Monetary Policy and Economic Impact
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
(Un)expected monetary policy shocks and term premia
Do financial markets respond to macroeconomic surprises? Evidence from the UK
Correcting Estimation Bias in Dynamic Term Structure Models
Unspanned Macroeconomic Factors in the Yield Curve
Did the Federal Reserve Break the Phillips Curve? Theory and Evidence of Anchoring Inflation Expectations
What Does the Yield Curve Tell Us about Exchange Rate Predictability
A model of fiscal dominance under the “Reinhart Conjecture”
An empirical analysis of unspanned risk for the U.S. yield curve
Interest rate term structure and the Chinese fiscal policy
The Yield Curve and Macroeconomic Dynamics
Discretion versus policy rules in practice
Monetary Policy Rules and Macroeconomic Stability
The Science of Monetary Policy
Measuring the Natural Rate of Interest
Is the Fed Too Timid? Monetary Policy in an Uncertain World
Bond Yields and the Federal Reserve
Introduction
Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty
| Unique citing works | 11 |
|---|---|
| Citations per year | 0,61 |
| Citation span | 2008 - 2025 (18) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 11 |