A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy

Tao Wu () and Glenn Rudebusch

No 104, 2004 Meeting Papers from Society for Economic Dynamics

Abstract: 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 important 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

Keywords: Term Structure; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E43 E52 G12 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (142)

Downloads: (external link)
http://www.frbsf.org/publications/economics/papers/2003/wp03-17bk.pdf main text (application/pdf)

Related works:
Journal Article: A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy (2008)
Journal Article: A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)
Working Paper: A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed004:104

Access Statistics for this paper

More papers in 2004 Meeting Papers from Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().