Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models
Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models
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用无套利和宏观金融模型解释期限结构行为的转变
DOI：
10.1111/j.0022-2879.2007.00030.x
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Tao Wu
中科院分区：
文献类型：
--
作者：
Glenn D. Rudebusch;Tao Wu
本文考察了20世纪80年代中期美国利率期限结构的动态变化。我们使用标准利率回归和使用动态，仿射，无套利模型估计的前和后转移子样本记录这种转变。期限结构的变化似乎主要是与“水平”因素相关的风险定价变化的结果。使用一个宏观金融模型，我们提出了这种变化之间的联系，在期限结构的行为和动态变化和风险定价的联邦的通货膨胀目标的投资者认为。版权所有2007年俄亥俄州州立大学。
This paper examines a shift in the dynamics of the term structure of interest rates in the United States during the mid-1980s. We document this shift using standard interest rate regressions and using dynamic, affine, no-arbitrage models estimated for the pre- and post-shift subsamples. The term structure shift largely appears to be the result of changes in the pricing of risk associated with a "level" factor. Using a macro-finance model, we suggest a link between this shift in term structure behavior and changes in the dynamics and risk pricing of the Federal Reserve's inflation target as perceived by investors. Copyright 2007 The Ohio State University.