News and the Term Structure in General Equilibrium
46 Pages Posted: 19 Oct 2007
Date Written: October 2007
This paper investigates the impact of agents' expectations about future fundamental economic disturbances (news) on macroeconomic dynamics. Several intuitive tests provide insight into the information content of the yield curve and its' ability to identify these 'news' disturbances. Bayesian estimation of a dynamic stochastic general equilibrium (DSGE) model using conventional macroeconomic aggregates and term structure data suggests that news shocks are important for understanding economic fluctuations.
Keywords: News, Interest Rates, Term Structure, Equilibrium, DSGE, Bayesian, Expectations Hypothesis
JEL Classification: C11, C13, C22, E22, E27, E32, E37, G12
Suggested Citation: Suggested Citation