Stylized facts on nominal term structure and business cycles: an empirical VAR study
This paper examines the importance of various macroeconomic shocks in explaining the movement of the term structure of nominal bond yields in the post-war USA, as well as the channels through which such macro-shocks influence the yield curve, using a structural Vector Autoregressive (VAR) model. The results show that the monetary-policy and the aggregate-supply shocks are important determinants of the nominal term structure. Moreover, the monetary-policy innovations have a large but transitory effect on the nominal bond yields, primarily by changing the slope of the yield curve, and the aggregate-supply shocks from private sector have a more persistent effect on the level of the yield curve, but have little effect on the slope of the yield curve.
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Volume (Year): 35 (2003)
Issue (Month): 8 ()
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References listed on IDEAS
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- Charles L. Evans & David A. Marshall, 1997.
"Monetary policy and the term structure of nominal interest rates: evidence and theory,"
Working Paper Series, Macroeconomic Issues
WP-97-10, Federal Reserve Bank of Chicago.
- Evans, Charles L. & Marshall, David A., 1998. "Monetary policy and the term structure of nominal interest rates: Evidence and theory," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 53-111, December.
- Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-1882, December.
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