New-Keynesian Macroeconomics and the Term Structure

Journal of Money, Credit and Banking, Forthcoming

49 Pages Posted: 7 Jun 2005 Last revised: 28 Jun 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: August 21, 2009

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 an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data. We obtain large and significant estimates of the Phillips curve and real interest rate response parameters. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target dominates the variation in the level factor whereas the monetary policy shocks dominate the variation in the slope and curvature factors.

Keywords: Phillips curve, term structure, New-Keynesian model

JEL Classification: E43, E52, C51

Suggested Citation

Bekaert, Geert and Cho, Seonghoon and Moreno, Antonio, New-Keynesian Macroeconomics and the Term Structure (August 21, 2009). Journal of Money, Credit and Banking, Forthcoming. Available at SSRN: https://ssrn.com/abstract=675863 or http://dx.doi.org/10.2139/ssrn.675863

Geert Bekaert

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 (Contact Author)

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

Ed. Amigos
Pamplona, Navarra 31009
Spain

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