Yield Curve in an Estimated Nonlinear Macro Model

• 영문명: Yield Curve in an Estimated Nonlinear Macro Model
• 발행기관: 한국계량경제학회
• 저자명: 도태영(Taeyoung Doh)
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2009년 하계학술대회, 1~55쪽, 전체 55쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2009.08.30

영문 초록

What moves the yield curve? This paper specifies and estimates a dynamic stochastic general equilibrium (DSGE) model solved using a second order approximation to equilibrium conditions to answer this question. From the empirical analysis of U.S. data from 1983:Q1 to 2007:Q4, I find that the monetary policy response to the inflation gap defined by the difference between expected inflation and the inflation target of the central bank is a key channel transmitting macro shocks to the yield curve and that the degree of nominal rigidity determines which macro shocks are more important determinants of the yield curve. With the low degree of nominal rigidity, the inflation target of the central bank drives persistent movements of inflation and the yield curve while fluctuations of markups do so with the high degree of nominal rigidity. Although the estimated linear model puts nearly zero probability on the low degree of nominal rigidity, there is a positive probability mass in the nonlinear model. The analysis in this paper suggests caution on interpreting estimation results in which nonlinear terms of the DSGE model solution are ignored.

목차

1 Introduction

2 Model Economy

3 Equilibrium Bond Yields

4 Econometric Methodology

5 Estimation Results

6 Economic Determinants of the Yield Curve

7 Conclusion

8 Appendix

키워드

Bayesian Econometrics DSGE Model Term Structure of Interest Rates