Monetary policy regimes and the term structure of interest rates

被引：29

作者：

Bikbov, Ruslan

Chernov, Mikhail ^{[1
,2
]}

机构：

[1] London Sch Econ, London WC2A 2AE, England

[2] CEPR, London, England

来源：

JOURNAL OF ECONOMETRICS | 2013年 / 174卷 / 01期

关键词：

Monetary policy; Term structure; Regime-switching model; No-arbitrage; SHIFTS; INFLATION; MODEL; RISK; PREMIA; RULES;

D O I：

10.1016/j.jeconom.2013.01.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

US monetary policy is investigated using a regime-switching no-arbitrage term structure model that relies on inflation, output, and the short interest rate as factors. The model is complemented with a set of assumptions that allow the dynamics of the private sector to be separated from monetary policy. The monetary policy regimes cannot be estimated if the yield curve is ignored during estimation. Counterfactual analysis evaluates importance of regimes in policy and shocks for the great moderation. The low-volatility regime of exogenous shocks plays an important role. Monetary policy contributes by trading off asymmetric responses of output and inflation under different regimes. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：27 / 43

页数：17

共 33 条

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