Replication data for: Targeting Long Rates in a Model with Segmented Markets
Replication data for: Targeting Long Rates in a Model with Segmented Markets
复制标题
复制数据：在细分市场模型中瞄准长期利率
DOI：
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
Matthias O. Paustian
中科院分区：
文献类型：
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作者：
Charles T. Carlstrom;Timothy S. Fuerst;Matthias O. Paustian
本文建立了一个分割的金融市场模型，其中金融机构的净资产限制了跨期限结构的套利程度。该模型被嵌入到规范的动态新凯恩斯主义（DNK）框架。我们的主要结果包括以下几点。首先，让央行对期限溢价做出反应会带来福利收益，例如，包括泰勒规则中的期限溢价。但首选反应的迹象取决于驱动商业周期的冲击类型。第二，直接针对期限溢价的政策可以使真实的经济免受源自金融部门的冲击。本文所表达的观点是作者的观点，而不一定是克利夫兰联邦储备银行、联邦储备系统理事会或其工作人员的观点。我们从达莎·萨福诺娃那里得到了很好的研究帮助。
This paper develops a model of segmented financial markets in which the net worth of financial institutions limits the degree of arbitrage across the term structure. The model is embedded into the canonical Dynamic New Keynesian (DNK) framework. Our principle results include the following. First, there are welfare gains to having the central bank respond to the term premium, eg., including the term premium in the Taylor Rule. But the sign of the preferred response depends upon the type of shocks driving the business cycle. Second, a policy that directly targets the term premium sterilizes the real economy from shocks originating in the financial sector. The views expressed in this paper are those of the authors, and not necessarily those of the Federal Reserve Bank of Cleveland, or of the Board of Governors of the Federal Reserve System or its staff. We have received excellent research assistance from Dasha Safonova.