New Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Vol. 42, No. 1, 33-62, 2010

Columbia Business School Research Paper No. 11-29

49 Pages Posted: 21 Oct 2011

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Seonghoon Cho

School of Economics, Yonsei University

Antonio Moreno

School of Economics and Business, University of Navarra

Multiple version iconThere are 4 versions of this paper

Date Written: February 2010

Abstract

This article complements the structural New Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro model with unobservable processes for the inflation target and the natural rate of output that are filtered from macro and term structure data. We find that term structure information helps generate large and significant parameters governing the monetary policy transmission mechanism. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target shock dominates the variation in the "level factor" whereas monetary policy shocks dominate the variation in the "slope and curvature factors."

Suggested Citation

Bekaert, Geert and Cho, Seonghoon and Moreno, Antonio, New Keynesian Macroeconomics and the Term Structure (February 2010). Journal of Money, Credit and Banking, Vol. 42, No. 1, 33-62, 2010; Columbia Business School Research Paper No. 11-29. Available at SSRN: https://ssrn.com/abstract=1946937

Geert Bekaert (Contact Author)

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Seonghoon Cho

School of Economics, Yonsei University ( email )

Yonsei University
Seoul
Korea
82-2-2123-2470 (Phone)
82-2-393-1158 (Fax)

HOME PAGE: http://web.yonsei.ac.kr/sc719/index.htm

Antonio Moreno

School of Economics and Business, University of Navarra ( email )

Ed. Amigos
Pamplona, Navarra 31009
Spain

Register to save articles to
your library

Register

Paper statistics

Downloads
50
Abstract Views
536
PlumX Metrics