New-Keynesian macroeconomics and the term structure
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Author
Contributions
- Cho, Seonghoon, 1970- - Contributor
- Moreno, Antônio. - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2005 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
8,250 words, Guess
Page Count
33 pages
Identifiers
- OCLC Control Number60531298
- Open LibraryOL17626641M
Description
"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""--National Bureau of Economic Research web site.
Subjects
Series Statement
- NBER working paper series -- no. 11340.
- Working paper series (National Bureau of Economic Research) -- working paper no. 11340.
Links
Other Editions
- New-Keynesian macroeconomics and the term structure
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