Macro-Finance Models of Interest Rates and the Economy
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
The Manchester School, Vol. 78, Issue s1, pp. 25-52, September 2010
During the past decade, much new research has combined elements of finance, monetary economics and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary macro-finance term structure research. The first adds macroeconomic variables and structure to a canonical arbitrage-free finance representation of the yield curve. The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. The third develops a new class of arbitrage-free term structure models that are empirically tractable and well suited to macro-finance investigations.
Number of Pages in PDF File: 28Accepted Paper Series
Date posted: August 10, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo1 in 0.688 seconds