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No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

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  • Jardet, C.
  • Monfort, A.
  • Pegoraro, F.

Abstract

Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of variables. More precisely, such a dynamic modelling must satisfy two important conditions. First, it must be able to propose reliable predictions of some key variables. Second, it must be able to propose a joint dynamics of some macroeconomic variables, of the whole curve of interest rates, of the whole set of term premia and, possibly, of various decompositions of the term premia. The first condition is required if we want to disentangle the respective impacts of, for instance, the expectation part of the term premium of a given long-term interest rate on some macroeconomic variable. The second condition is necessary if we want to analyze the interactions between macro-variables with some global features of the yield curve (short part, long part, level, slope and curvature) or with, for instance, term premia of various maturities. In the present paper we propose to satisfy both requirements by using a Near-Cointegrated modelling of basic observables variables, in order to meet the first condition, and the no-arbitrage theory, in order to meet the second one. Moreover, the dynamic interactions of this large set of variables is based on the statistical notion of New Information Response Function, recently introduced by Jardet, Monfort and Pegoraro (2009). This technical toolkit is then used to propose a new approach to two important issues: the "conundrum" episode and the puzzle of the relationship between the term premia on long-term yields and future economic activity.

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Paper provided by Banque de France in its series Working papers with number 234.

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Length: 67 pages
Date of creation: 2009
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Handle: RePEc:bfr:banfra:234

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Keywords: Near-Cointegrated VAR(p) model ; Term structure of interest rates ; Term premia ; GDP growth ; No-arbitrage affine term structure model ; New Information Response Function.;

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Cited by:
  1. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
  2. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  3. Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers 2011-26, Centre de Recherche en Economie et Statistique.
  4. Mirkov, Nikola & Sutter, Barbara, 2012. "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance 1208, University of St. Gallen, School of Finance.
  5. G. Lamé, 2013. "Was there a « Greenspan Conundrum » in the Euro area?," Documents de Travail de la DESE - Working Papers of the DESE g2013-10, Institut National de la Statistique et des Etudes Economiques, DESE.
  6. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
  7. Michael D. Bauer & Glenn D. Rudebusch & Jing (Cynthia) Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
  8. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, School of Economics and Management, University of Aarhus.
  9. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, School of Economics and Management, University of Aarhus.
  10. Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
  11. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Working Papers 14-13, Bank of Canada.
  12. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.

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