The Bond Yield Conundrum: Alternative Hypotheses and the State of the Economy
AbstractWe study the bond yield conundrum in a macro-finance framework. Building upon a exible and non-structural macro-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial markets. Moreover we explicitly test for the role of the state of the economy. Our findings give a richer description of the drivers of the term premium yet the conun- drum remains. The results in this paper indicate that the underlying observable drivers of the term premium are not yet fully understood.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-121.
Date of creation: 2010
Date of revision:
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affine models; yield curve; term premium; monetary policy;
Other versions of this item:
- Eijffinger, Sylvester C. W. & Mahieu, Ronald J & Raes, Louis, 2010. "The bond yield conundrum: alternative hypotheses and the state of the economy," CEPR Discussion Papers 8063, C.E.P.R. Discussion Papers.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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