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Macro‐Finance Models Of Interest Rates And The Economy

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  • GLENN D. RUDEBUSCH

Abstract

During the past decade, much new research has combined elements of finance, monetary economics and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary macro‐finance term structure research. The first adds macroeconomic variables and structure to a canonical arbitrage‐free finance representation of the yield curve. The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. The third develops a new class of arbitrage‐free term structure models that are empirically tractable and well suited to macro‐finance investigations.

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  • Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    • Handle: RePEc:bla:manchs:v:78:y:2010:i:s1:p:25-52
    DOI: 10.1111/j.1467-9957.2010.02198.x
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    13. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242.
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    22. Christoffel, Kai & Kilponen, Juha & Jaccard, Ivan, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
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