Journal Article
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. This paper investigates these implications using both a structural model and a reduced-form framework. The authors 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.
Keywords: Macroeconomics; Finance;
Status: Published in Proceedings of the Thirty-First Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis : Frontiers in Monetary Policy Research
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Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Review
Publication Date: 2007
Volume: 89
Issue: Jul
Pages: 241-270