Stylized Facts on Nominal Term Structure and Business Cycles: An Empirical VAR Study

Tao Wu ()

No 2002-08, Working Paper Series from Federal Reserve Bank of San Francisco

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 U.S., 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.

Keywords: Business cycles; Vector autoregression; Econometric models (search for similar items in EconPapers)
JEL-codes: C13 C22 E43 E44 E52 (search for similar items in EconPapers)
Pages: 12
Date: 2001-08-01
Note: PDF date: First draft: November 15, 2000. This version: August 23, 2001.
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Citations: View citations in EconPapers (1)

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Journal Article: Stylized facts on nominal term structure and business cycles: an empirical VAR study (2003)
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DOI: 10.24148/wp2002-08

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