Yield Curve Dynamics and Fiscal Policy Shocks
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Barro, Robert J, 1974.
"Are Government Bonds Net Wealth?,"
Journal of Political Economy, University of Chicago Press, vol. 82(6), pages 1095-1117, Nov.-Dec..
- Barro, Robert J., 1974. "Are Government Bonds Net Wealth?," Scholarly Articles 3451399, Harvard University Department of Economics.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015.
"Comparison of methods for constructing joint confidence bands for impulse response functions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," SFB 649 Discussion Papers SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Scott Joslin & Kenneth J. Singleton & Haoxiang Zhu, 2011. "A New Perspective on Gaussian Dynamic Term Structure Models," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 926-970.
- Thomas Laubach, 2009.
"New Evidence on the Interest Rate Effects of Budget Deficits and Debt,"
Journal of the European Economic Association, MIT Press, vol. 7(4), pages 858-885, June.
- Thomas Laubach, 2003. "New evidence on the interest rate effects of budget deficits and debt," Finance and Economics Discussion Series 2003-12, Board of Governors of the Federal Reserve System (U.S.).
- Leo Krippner, 2013.
"A tractable framework for zero lower bound Gaussian term structure models,"
Reserve Bank of New Zealand Discussion Paper Series
DP2013/02, Reserve Bank of New Zealand.
- Leo Krippner, 2013. "A tractable framework for zero-lower-bound Gaussian term structure models," CAMA Working Papers 2013-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2012.
"Quantitative Effects of Fiscal Foresight,"
American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 115-144, May.
- Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2010. "Quantitative Effects of Fiscal Foresight," NBER Chapters, in: Trans-Atlantic Public Economics Seminar (TAPES), Fiscal Policy, pages 115-144, National Bureau of Economic Research, Inc.
- Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2010. "Quantitative Effects of Fiscal Foresight," NBER Working Papers 16363, National Bureau of Economic Research, Inc.
- Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2014. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment," American Economic Review, American Economic Association, vol. 104(1), pages 323-337, January.
- Ang, Andrew & Piazzesi, Monika, 2003.
"A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables,"
Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
- Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013.
"Incomplete markets, liquidation risk, and the term structure of interest rates,"
Journal of Economic Theory, Elsevier, vol. 148(6), pages 2483-2519.
- Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," PSE Working Papers halshs-00587679, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE-Ecole d'économie de Paris (Postprint) halshs-00944920, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Post-Print halshs-00944920, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00944920, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Working Papers hal-00843147, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," Working Papers halshs-00587679, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE Working Papers hal-00843147, HAL.
- Challe, E. & Le Grand, F. & Ragot, X., 2010. "Incomplete markets, liquidation risk, and the term structure of interest rates," Working papers 301, Banque de France.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Post-Print hal-02313134, HAL.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
SIRE Discussion Papers
2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.
- Jing Cynthia Wu & Fan Dora Xia, 2020.
"Negative interest rate policy and the yield curve,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
- Dora Xia & Jing Cynthia Wu, 2018. "The negative interest rate policy and the yield curve," BIS Working Papers 703, Bank for International Settlements.
- Jing Cynthia Wu & Fan Dora Xia, 2018. "Negative Interest Rate Policy and the Yield Curve," NBER Working Papers 25180, National Bureau of Economic Research, Inc.
- Luis Ceballos & Damián Romero, 2015. "Decomposing Long-Term Interest Rates: An International Comparison," Working Papers Central Bank of Chile 767, Central Bank of Chile.
- Michal Dvorák & Zlatuše Komárková & Adam Kucera, 2019.
"The Czech Government Yield Curve Decomposition at the Lower Bound,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(1), pages 2-36, February.
- Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017. "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2016/2017, chapter 0, pages 125-134, Czech National Bank.
- Adam Kucera & Michal Dvorak & Lubos Komarek & Zlatuse Komarkova, 2017. "Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve," Working Papers 2017/12, Czech National Bank.
- Michael D. Bauer & Glenn D. Rudebusch, 2020.
"Interest Rates under Falling Stars,"
American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
- Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
- Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013.
"Incomplete markets, liquidation risk, and the term structure of interest rates,"
Journal of Economic Theory, Elsevier, vol. 148(6), pages 2483-2519.
- Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," PSE Working Papers halshs-00587679, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Post-Print hal-02313134, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE-Ecole d'économie de Paris (Postprint) halshs-00944920, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Post-Print halshs-00944920, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00944920, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Working Papers hal-00843147, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," Working Papers halshs-00587679, HAL.
- Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE Working Papers hal-00843147, HAL.
- Challe, E. & Le Grand, F. & Ragot, X., 2010. "Incomplete markets, liquidation risk, and the term structure of interest rates," Working papers 301, Banque de France.
- Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
- Goliński, Adam & Spencer, Peter, 2017. "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, vol. 125(1), pages 163-181.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-71, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- De Rezende, Rafael B., 2017.
"The interest rate effects of government bond purchases away from the lower bound,"
Journal of International Money and Finance, Elsevier, vol. 74(C), pages 165-186.
- De Rezende, Rafael B., 2016. "The interest rate effects of government bond purchases away from the lower bound," Working Paper Series 324, Sveriges Riksbank (Central Bank of Sweden).
- De Rezende, Rafael B. & Ristiniemi, Annukka, 2018.
"A shadow rate without a lower bound constraint,"
Working Paper Series
355, Sveriges Riksbank (Central Bank of Sweden).
- B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.
- António Afonso, 2007.
"An Avenue for Expansionary Fiscal Contractions,"
The IUP Journal of Public Finance, IUP Publications, vol. 0(3), pages 7-15, August.
- Afonso, António, 2007. "An avenue for expansionary fiscal contractions," MPRA Paper 4593, University Library of Munich, Germany.
- Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
- Paul J.J. Welfens, 2011. "The Twin Crisis: From the Transatlantic Banking Crisis to the Euro Crisis?," EIIW Discussion paper disbei187, Universitätsbibliothek Wuppertal, University Library.
- Pericoli, Marcello & Taboga, Marco, 2012.
"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
- Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
- Marcello Pericoli & Marco Taboga, 2009. "Bond risk premia, macroeconomic fundamentals and the exchange rate," Temi di discussione (Economic working papers) 699, Bank of Italy, Economic Research and International Relations Area.
- Ardagna Silvia & Caselli Francesco & Lane Timothy, 2007.
"Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-35, August.
- Silvia Ardagna & Francesco Caselli & Timothy Lane, 2004. "Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries," NBER Working Papers 10788, National Bureau of Economic Research, Inc.
- Silvia Ardagna & Francesco Caselli & Timothy Lane, 2005. "Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries," CEP Discussion Papers dp0670, Centre for Economic Performance, LSE.
- Ardagna, Silvia & Lane, Timothy & Caselli, Francesco, 2007. "Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries," Scholarly Articles 2579739, Harvard University Department of Economics.
- Ardagna, Silvia & Caselli, Francesco & Lane, Timothy, 2004. "Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries," CEPR Discussion Papers 4661, C.E.P.R. Discussion Papers.
- Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
More about this item
Keywords
Government Expenditures; Affine Term Structure Model; Time-varying Macro Trends;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2019-05-13 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:svk:wpaper:1060. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/nbsgvsk.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.