Stylized Facts on Nominal Term Structure and Business Cycles: An Empirical VAR Study
Federal Reserve Bank of Dallas; Federal Reserve Bank of San Francisco
FRB of San Francisco Working Papers No. 2002-08
This paper examines the importance of various macroeconomic shocks in explaining the movement of the term structure of nominal bond yields in the post-war U.S., as well as the channels through which such macro shocks influence the yield curve, using a structural Vector Autoregressive (VAR) model. The results show that the monetary-policy and the aggregate-supply shocks are important determinants of the nominal term structure. Moreover, the monetary-policy innovations have a large but transitory effect on the nominal bond yields, primarily by changing the slope of the yield curve, and the aggregate-supply shocks from private sector have a more persistent effect on the level of the yield curve, but have little effect on the slope of the yield curve.
Number of Pages in PDF File: 12
Keywords: Vector autoregression,
JEL Classification: C13, C22, E43, E44, E52working papers series
Date posted: April 29, 2005
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