New-keynesian macroeconomics and the term structure
By: Geert Bekaert, Seonghoon Cho, Antonio Moreno.
Contributors: Cho, Seonghoon, 1970-; Moreno, Antonio, 1975-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11340; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11340.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Keynesian economics.; Macroeconomics -- Mathematical models.
Description: "This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model.  Whereas our methodology is general, we focus on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data.  We obtain large and significant estimates of the Phillips curve and real interest rate response parameters.  Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks.  The inflation target dominates the variation in the "level factor" whereas the monetary policy shocks dominate the variation in the "slope and curvature factors""--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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