New Keynesian Macroeconomics and the Term Structure

Geert Bekaert, Seonghoon Cho and Antonio Moreno ()

Journal of Money, Credit and Banking, 2010, vol. 42, issue 1, 33-62

Abstract: 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 unobservable processes for the inflation target and the natural rate of output that are filtered from macro and term structure data. We find that term structure information helps generate large and significant parameters governing the monetary policy transmission mechanism. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target shock dominates the variation in the “level factor” whereas monetary policy shocks dominate the variation in the “slope and curvature factors.”

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://doi.org/10.1111/j.1538-4616.2009.00277.x

Related works:
Journal Article: New Keynesian Macroeconomics and the Term Structure (2010)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2006)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2005)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2005)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2004)
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:wly:jmoncb:v:42:y:2010:i:1:p:33-62

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().