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

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  • Caroline JARDET

    (Crest)

  • Alain MONFORT

    (Crest)

  • Fulvio PEGORARO

    (Crest)

Abstract

The recent macro-finance literature does not agree either about the empirical properties of the expectation part and of the term premium on long-term bonds or about the importance or even the direction of the relationship between the term premium and future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR setting, we extract a reliable measure of the term premium by means of averaging estimator techniques aiming at optimally solving prediction problems when highly persistent processes are present and, thus, providing a so called Near-Cointegrated VAR(p) approach. Second, we analyze the dynamic response of GDP to shocks to the term premium by using the New Information Response Function concept. As far as the first problem is concerned, we find that the NCVAR-based term premium measure is rather stable and counter-cyclical, as suggested by interest rates survey-based estimation of yield curve models and by its risk compensation role. Regarding the second problem, we find that an increase in the long-term spread caused by the term premium induces two effects on future economic activity: the impact is negative for short horizons (less than 1year), whereas it is positive for longer ones.

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Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2011-03.

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Length: 36
Date of creation: 2011
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Handle: RePEc:crs:wpaper:2011-03

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Cited by:
  1. Gildas Lamé, 2013. "Was there a "Greenspan conundrum" in the Euro Area ?," Working Papers 2013-07, Centre de Recherche en Economie et Statistique.
  2. 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.
  3. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
  4. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
  5. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Working Papers 14-13, Bank of Canada.
  6. 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.
  7. 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.
  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. 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.
  10. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
  11. 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.
  12. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.

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