Macroeconomic Implications Of Changes In The Term Premium
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Macroeconomic Implications of Changes in the Term Premium
Author | : Glenn D. Rudebusch |
Publisher | : |
Total Pages | : 48 |
Release | : 2007 |
Genre | : |
ISBN | : |
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Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. We investigate these implications using both a structural model and a reduced-form framework. We show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the literature.