NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

New-Keynesian Macroeconomics and the Term Structure

Geert Bekaert, Seonghoon Cho, Antonio Moreno

NBER Working Paper No. 11340
Issued in May 2005
NBER Program(s):   AP   ME

This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data. We obtain large and significant estimates of the Phillips curve and real interest rate response parameters. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target dominates the variation in the "level factor" whereas the monetary policy shocks dominate the variation in the "slope and curvature factors".

download in pdf format
   (483 K)

email paper

This paper is available as PDF (483 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Published: Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, 02.

Users who downloaded this paper also downloaded these:
Gallmeyer, Hollifield, Palomino, and Zin w13245 Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
Greenwald and Stiglitz w2160 Keynesian, New Keynesian, and New Classical Economics
Ang, Dong, and Piazzesi w13448 No-Arbitrage Taylor Rules
Diebold, Piazzesi, and Rudebusch w11089 Modeling Bond Yields in Finance and Macroeconomics
Ang, Bekaert, and Wei w11538 Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us