Working Paper
Macroeconomic Implications of Changes in the Term Premium
Abstract: Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. We investigate these implications using both a structural model and a reduced-form framework. We show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the literature.
https://doi.org/10.24148/wp2006-46
Access Documents
File(s):
File format is application/pdf
https://www.frbsf.org/wp-content/uploads/wp06-46bk.pdf
Description: PDF - view
File(s):
File format is text/html
https://www.frbsf.org/research-and-insights/publications/working-papers/2006/11/macroeconomic-implications-of-changes-in-the-term-premium/
Description: FRBSF - view
File(s):
File format is text/html
https://fraser.stlouisfed.org/title/working-papers-federal-reserve-bank-san-francisco-7038/macroeconomic-implications-changes-term-premium-639242
Description: FRASER - view
Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: Working Paper Series
Publication Date: 2006-11-01
Number: 2006-46