Interest Rates and Monetary Policy

该项目探讨了利率期限结构的经济学，以及它如何与货币政策相关联。这些问题包括：联邦能影响长期利率吗？为什么美联储紧缩政策不会降低长期利率？美联储是对利率做出反应，还是利率只是预测美联储的行动？ 美联储的行动与利率风险溢价的变化有何关系？在期限结构中，哪些宏观经济风险推动了风险溢价？期限结构中的风险主要是真实的还是通货膨胀？这种情况是否随着时间的推移而改变？ 在他们之前的工作中，调查人员记录了债券预期超额收益的可预测性比以前认为的更强。 它们显示了债券风险溢价的强烈的、与衰退相关的时间变化。 研究人员研究了哪种利率冲击可以解释这一事实，并发现利率“水平”冲击的协方差驱动了风险溢价。通货膨胀冲击和对预期收益的冲击都失败了。“水平”冲击可以解释为货币政策冲击。 研究人员还研究了非常高频率的数据，以隔离美联储的政策冲击，并发现令人惊讶的产出和价格反应，以及美联储影响长期利率的能力。 这项工作以多种方式得到扩展。 包括短期债券和长期债券。 研究人员已经开发了一个基本的精确识别仿射期限结构模型，顺便解决了长期存在的难题，是否存在这样的模型，可以捕捉期限溢价。 该模型被用来调查各种减少状态变量的表示。很明显，债券数据存在测量误差，因此研究人员开发了一个模型，认真考虑测量误差。 从长远来看，研究人员计划将宏观经济变量纳入分析，并将他们从高频识别中了解到的美联储政策与这些期限结构结果联系起来。

This project explores the economics of the term structure of interest rates, and how it relates to monetary policy. The questions addressed include: Can the Federal Reserve affect long-term interest rates? Why does Fed tightening not lower long-term interest rates? Does the Fed respond to interest rates, or do interest rates simply forecast Fed moves? How are Fed actions related to changes in interest rate risk premia? What are the macroeconomic risks that drive risk premia in the term structure? Are risks in the term structure primarily real or inflation? Has this changed over time? In their previous work, the investigators document even stronger predictability of bond expected excess returns than previously thought. They show strong, recession-related time-variation in bond risk premia. The investigators examine which kinds of interest rate shocks explain this fact, and find that covariance with a "level" shock to interest rates drives the risk premium. Inflation shocks and shocks to expected returns fail. The "level" shock can be interpreted as a monetary policy shock. The investigators also look at very high frequency data to isolate Fed policy shocks and find surprising output and price responses, and a surprisingly strong ability of the Fed to influence long-term interest rates. This work is extended in a number of ways. Short-term bonds as well as long-term bonds are included. The investigators have developed an underlying exactly identified affine term structure model, incidentally resolving the long standing puzzle whether such models exist that can capture term premia. This model is used to investigate a variety of reduced state variable representations. It is clear that bond data have measurement error, so the investigators develop a model that takes measurement error seriously. Over the longer term, the investigators plan to incorporate macroeconomic variables into the analysis and tie what they are learning about Fed policy from the high frequency identification to these term structure results.