利率期限结构与宏观经济因素的动态相依性——基于VAR模型的经验研究

利率期限结构的变化受到各种宏观经济冲击的影响,宏观经济冲击通过利率期限结构的变化影响到资产收益曲线。文章通过估计和检验结构VAR模型,发现货币冲击、供给冲击和价格冲击都对短期利率产生了持续显著的影响,而对长期利率则没有显著作用效果。宏观经济冲击只对收益曲线的截距参数具有显著影响,而对收益曲线的斜率参数和曲率参数的影响微弱。     

Incomplete markets,liquidation risk,and the term structure of interest rates

We analyse the term structure of interest rates in a general equilibrium model with incomplete markets, borrowing constraint, and positive net supply of government bonds. Uninsured idiosyncratic shocks generate bond trades, while aggregate shocks cause fluctuations in the trading price of bonds. Long bonds command a “liquidation risk premium” over short bonds, because they may have to be liquidated before maturity – following a bad idiosyncratic shock – precisely when their resale value is low – due to the simultaneous occurrence of a bad aggregate shock. Our framework endogenously generates limited cross-sectional wealth heterogeneity among the agents (despite the presence of uninsured idiosyncratic shocks), which allows us to characterise analytically the shape of the entire yield curve, including the yields on bonds of arbitrarily long maturities. Agents? desire to hedge the idiosyncratic risk together with their fear of having to liquidate long bonds at unfavourable terms implies that a greater bond supply raises the level of the yield curve, while an increase in the relative supply of long bonds raises its slope.     

AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN UK TREASURY BILLS AND THE TERM STRUCTURE OF CERTIFICATES OF DEPOSIT*

Using principal components analysis, this paper derives a direct measure of movements in the level and slope of the certificate of deposit yield curve. Appealing to the efficient markets view of the term structure of interest rates, evidence is reported which suggests that changes in Treasury Bill yields have a considerable influence over changes in the level of CD yields but only have a small, transitory effect on the slope of the term structure of CDs.     

Estimating inflation compensation for Turkey using yield curves

Inflation compensation derived from nominal and real bond yields contains market based, real time information regarding the inflation expectations and the pricing of inflation risks. In this study, we calculate inflation compensation for Turkey by using nominal and real yield curves. The findings of event study analysis on inflation compensation indicate that changes in the term structure of inflation compensation contain information regarding the credibility of monetary authority. Moreover, we find that, at daily frequency, liquidity conditions have no significant effect on inflation compensation and hence the effects of events such as monetary policy decisions and inflation surprises on inflation compensation can be attributed mainly to changes in inflation expectations and pricing of inflation uncertainty.     

Yield curve and the macroeconomy: Evidence from a DSGE model with housing

The slope of the yield curve has long been found to be a useful predictor of future economic activities, but the relationship is unstable. One change we have identified in this paper is that, between the early 1990s and the collapse of the housing market in 2007, movements at the long end of the yield curve have an increase in predictive power. We use a medium-scale DSGE model with a housing sector and a yield curve as a guide to find out the sources of such change. The model implies that an increase in the short-term interest rate and a decrease in the long-term interest rate have different impacts on the economy, and to use the slope as a predictor one needs to distinguish movements at the two ends of the yield curve. Based on simulated data from the model, we find that nominal wage rigidities and the capital adjustment costs are closely related to the predictive power of the yield curve. This result is further confirmed with actual data.     

Nominal term structure and term premia: evidence from Chile

The downwards trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behaviour of the nominal yield curve in Chile, we rely on an affine dynamic term structure model which allows the term structure to decompose into the expected short-term interest rate (related to the monetary policy expectation) and the term premium. We show that most of the fall of long-term interest rates as well as its dynamics are related to the term premium rather than the expected short-term interest rate. Moreover, we find evidence that term premium is driven primarily by the US term premium and domestic nominal uncertainty derived from expected inflation.     

A decomposition of the predictive content of the term structure for output growth in Canada

The purpose of this study is to identify the underlying economic disturbances that drive the predictive content of the term structure for future output growth and those that may distort its information content. The study uses a structural vector autoregressive (VAR) model of a small and open economy for Canada that takes into account its relationship with financial markets in the USA and that Canada is a relatively large exporter of commodities. The model is used to decompose the sources of the variation of the slope of the yield curve and the correlation between the term spread and output growth. Monetary policy disturbances in both Canada and the USA, as well as short-term interest rates, are found to trigger excessive volatility in short-term rates and the term spread that do not contribute to the predictive content of the term spread for future output growth at horizons relevant for monetary policy analysis. However, innovations in output growth, inflation and other macroeconomic variables do not distort the forecast power of the term spread. Unlike the evidence for the USA, disturbances in nominal long-term yields are found to contribute about the same amount to the predictive content of the term spread as unexpected movements in monetary policy.     

Computing equilibrium bond prices in the Vayanos-Vila model

We develop tools for computing equilibrium bond prices for the discrete-time version of the Vayanos–Vila (2009) model. With the maturity structure included in pricing factors, factor loadings for equilibrium bond yields depends critically on parameters describing maturity structure dynamics and other model parameters. An illustrative example shows that the effect on the yield curve of a supply shock originating in a given maturity, although hump-shaped around the originating maturity, is to change yields broadly across all maturities.     

The term structure of interest rates within a production economy: A parametric example

The behavior of the term structure of interest rates is studied analytically within a simple stochastic growth model. It is shown that the qualitative characteristics of interest rate behavior within this setting do not differ from those in more general settings which have been studied previously through numerical methods. Specifically, it is demonstrated that interest rates are countercyclical; the yield curve will invert in recessions, but, on average will have a positive slope implying a positive term premium.     

Do sticky prices increase real exchange rate volatility at the sector level?

We introduce the real exchange rate volatility curve as a useful device to understand the relationship between price stickiness and the fluctuations in Law of One Price deviations. In the presence of both nominal and real shocks, the theory predicts that the real exchange rate volatility curve is a U-shaped function of the degree of price stickiness. Using sector-level US–European real exchange rate data and frequency of price changes, we estimate the volatility curve and find the predominance of real effects over nominal effects. Good-by-good variance decompositions show that the relative contribution of nominal shocks is smaller at the sector level than what previous studies have found at the aggregate level, consistent with significant averaging out of good-specific real microeconomic shocks.     

News Sentiment: A New Yield Curve Factor

The authors show that sentiments from newspaper articles can explain and predict movements in the term structure of U.S. government bonds. This effect is stronger at the short end of the curve, coinciding with greater volatility and investors' need to continually reassess the Fed's reaction function. Facing such uncertainty, market participants rely on news and sentiment as a central element in their decision-making process. Considering this dependence, the authors propose a new yield curve factor—news sentiment—that is distinct from the 3 established yield curve factors (level, slope, and curvature) as well as from fundamental macroeconomic variables.     

Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence

This paper deals with transition mechanisms through which financial market conditions affect real economic growth in the Euro area. The informational content of financial variables for predicting real economic growth is assessed, allowing for asymmetric responses to shocks. A nonlinear framework is developed based on a smooth transition model for which the effects of shocks can vary across business cycles when financial indicators modify both the endogenous and state variables. Global financial variables are shown to significantly affect real growth in the Euro area, particularly during periods of recession. Changes in stock market index and yield slope have asymmetric effects on real growth. In recessionary periods, the slope of the US yield curve does not have a significant impact on growth in the Euro area.     

Strategic Interactions of Monetary Policymakers and Wage/Price Bargainers: A Review with Implications for the European Common-Currency Area

This paper reviews recent work on macroeconomic management with varying organization of wage/price bargaining and degrees of credible monetary conservatism. The emerging literature synthesizes and extends theory and empirics on central bank independence (CBI) and coordinated wage/price bargaining (CWB), arguing that the degrees of CBI and CWB interact with each other and with other political-economic conditions (sectoral composition, international exposure, etc.) to structure the incentives facing actors involved in monetary policy and wage/price bargaining. The core implication, theoretically surprising but empirically supported, is that even perfectly credible monetary conservatism has long-run, equilibrium, on-average real effects, even with fully rational expectations, and that these effects depend on the organization of wage/price bargaining. Conversely, wage/price-bargaining structure has real effects that depend on the degree of credible conservatism reflected in monetary-policy rules. Each also has interactive nominal effects though this is less surprising. Some disagreement remains over the precise nature of these interactive effects, but all emerging theory and evidence agree that a common, credibly conservative European monetary policy has nominal and real effects that depend on the Europe-wide institutional-structural organization of wage/price bargaining. Indeed, the one specific piece of theoretical and empirical agreement suggests that, for many member countries, the nominal gains from monetary-policy delegation to a credibly conservative European Central Bank will worsen these bargaining-policy interactions.     

Inflation indexed bonds and monetary theory

Summary. The introduction of inflation indexed bonds, or “tips” - treasury inflation protected securities, provides important new data for analyzing the state of the economy and for assessing the validity and significance of macroeconomic theories. This note will show that tip yields contain information for predicting real variables. Furthermore, the inclusion of tip yields supersedes the role of nominal variables - both the ten year nominal bond and fed funds rate - for incrementally predicting (Granger causing) real variables. The data support the notion of block exogeneity - the lack of feedback from nominal to real variables. This result would appear to be inconsistent with the idea that monetary policy, as implemented through changes in the fed funds rate, has had measurable real effects over this, admittedly brief, sample (See for example Christiano, Eichenbaum, and Evans (1998) who argue that the impulse response functions to fed fund shocks can be used to estimate the response to unanticipated policy shocks. However they find that these have not been a major source of output fluctuations. The present study implies that such inferences are not robust to the introduction of tip yields). Received: 7 August 2004, Revised: 19 December 2004 JEL Classification Numbers: E01, E04, E05.Laurence Weiss: I thank Bob Litterman and Bob Lucas for discussion and inspiration.     

The Australian Term Structure as a Predictor of Real Economic Activity

This study examines the empirical relation between the yield spread of the term structure of interest rates and future economic activity in Australia. Results indicate that the term spread has significant power to predict real GDP growth but not nominal GDP growth. The term spread has more power in forecasting cumulative future growth than marginal growth in periods ahead. Around one-third of the variance of two year GDP growth can be explained by the term structure one to two quarters ahead. Explanatory power begins to decline beyond two to three years into the future whatever the combination of the long and short term yields used to measure the spread. The term spread has more explanatory power than the most widely used leading index for forecasting economic activity when forecasting cumulative GDP growth beyond two quarters.     

The Heath, Jarrow, Morton Model

Equilibrium models of the term structure of interest rates, such as Vasicek (1977) and Cox et al. (1985) , hereafter CIR, determine the equilibrium yield curve by modelling the dynamics of the short-term interest rate, specifying the market price of risk, and solving the resulting partial differential equation for bond prices. Several multi-factor extensions of the Vasicek and CIR framework have been advanced in the recent term structure literature using as additional factors different variables, such as the volatility of interest rates (see, e.g. Longstaff and Schwartz, 1992 ; Dai and Singleton, 2000 ), the slope of the term structure ( Brennan and Schwartz, 1979 ; Schaefer and Schwartz, 1984 ), monetary policy rates ( Bakshi and Chen, 1996 ), and inflation ( Pennacchi, 1991 ; Sun, 1992 ). Since a no-arbitrage condition must hold in equilibrium, this brief article starts from the stated law of motion for bond prices to tersely show how their implied instantaneous forward rates have an evolution under the pricing measure that is fully characterized by the forward rate volatilities. Thus, the outcome of the article is the fundamental equation of the classic model contributed by Heath et al. (1992) , hereafter HJM, which sets off with the study of the forward rates' no-arbitrage dynamics. By doing so, it shows that, despite its different angle and its apparent complex structure, the HJM model is fully consistent and has a clear link with standard equilibrium set-ups like those of the Vasicek and CIR type. This note was written in 1994 .     

人民币升值的逆传递效应： 基于供给冲击和需求冲击的分析

基于供给冲击与需求冲击的研究视角,本文阐述了人民币升值的逆传递效应的传导机制。运用协整与向量误差修正模型,实证检验了人民币名义有效汇率与人民币对美元的双边名义汇率的逆传递效应。结果表明,无论在长期还是在短期,人民币升值都不具有通货紧缩效应,而是具有逆传递效应,并且名义有效汇率的逆传递效应强于双边名义汇率。     

Bond risk premia, macroeconomic fundamentals and the exchange rate

We propose a two-country no-arbitrage term-structure model to analyze the joint dynamics of bond yields, macroeconomic variables and the exchange rate. The model allows to understand how exogenous shocks to the exchange rate affect the yield curves, how bond yields co-move in different countries and how the exchange rate is influenced by interest rates, macro-economic variables and time-varying bond risk premia.Estimating the model with US and German data, we find that time-varying bond risk premia account for a significant portion of the variability of the exchange rate: apparently, a currency tends to appreciate when investors expect large capital gains on long-term bonds denominated in that currency. A number of other novel empirical findings emerge.     

Bond risk premia,macroeconomic fundamentals and the exchange rate

We propose a two-country no-arbitrage term-structure model to analyze the joint dynamics of bond yields, macroeconomic variables and the exchange rate. The model allows to understand how exogenous shocks to the exchange rate affect the yield curves, how bond yields co-move in different countries and how the exchange rate is influenced by interest rates, macro-economic variables and time-varying bond risk premia.Estimating the model with US and German data, we find that time-varying bond risk premia account for a significant portion of the variability of the exchange rate: apparently, a currency tends to appreciate when investors expect large capital gains on long-term bonds denominated in that currency. A number of other novel empirical findings emerge.     

MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS

We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations. We propose a new term structure model where the second moments of macroeconomic variables and yields can have a first‐order effect on their dynamics. The data favor a model with two unspanned volatility factors that capture uncertainty about monetary policy and the term premium. Uncertainty contributes negatively to economic activity. Two dimensions of uncertainty react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks varies across different historical episodes.