New-Keynesian Macroeconomics and the Term Structure

Geert Bekaert, Seonghoon Cho and Antonio Moreno ()

No 11340, NBER Working Papers from National Bureau of Economic Research, Inc

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 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".

JEL-codes: E4 E5 G2 (search for similar items in EconPapers)
Date: 2005-05
New Economics Papers: this item is included in nep-fin, nep-mac and nep-mon
Note: AP ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71)

Published as Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, 02.

Downloads: (external link)
http://www.nber.org/papers/w11340.pdf (application/pdf)

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 (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:nbr:nberwo:11340

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w11340

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().