TY  - JOUR
AU  - Bekaert,Geert
AU  - Cho,Seonghoon
AU  - Moreno,Antonio
TI  - New-Keynesian Macroeconomics and the Term Structure
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11340
PY  - 2005
Y2  - May 2005
UR  - http://www.nber.org/papers/w11340
L1  - http://www.nber.org/papers/w11340.pdf
N1  - Author contact info:
Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Seonghoon Cho
School of Economics
Yonsei University
Seoul 120-749, Korea
E-Mail: sc719@yonsei.ac.kr

Antonio Moreno
Department of Economics
University of Navarra
E-Mail: antmoreno@unav.es
AB  - 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".
ER  -