Stylized facts on nominal term structure and business cycles: an empirical VAR study

Tao Wu ()

Applied Economics, 2003, vol. 35, issue 8, 901-906

Abstract: This paper examines the importance of various macroeconomic shocks in explaining the movement of the term structure of nominal bond yields in the post-war USA, as well as the channels through which such macro-shocks influence the yield curve, using a structural Vector Autoregressive (VAR) model. The results show that the monetary-policy and the aggregate-supply shocks are important determinants of the nominal term structure. Moreover, the monetary-policy innovations have a large but transitory effect on the nominal bond yields, primarily by changing the slope of the yield curve, and the aggregate-supply shocks from private sector have a more persistent effect on the level of the yield curve, but have little effect on the slope of the yield curve.

Date: 2003
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Working Paper: Stylized facts on nominal term structure and business cycles: an empirical VAR study (2001)
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DOI: 10.1080/0003684022000018204

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