Fiscal Policy and the Term Structure of Interest Rates
Macroeconomists want to understand the eects of scal policy on interest rates, while nancial economists look for the factors that drive the dynamics of the yield curve. To shed light on both issues, we present an empirical macro- nance model that combines a no-arbitrage ane term structure model with a set of structural restrictions that allow us to identify scal policy shocks, and trace the eects of these shocks on the prices of bonds of dierent maturities. Compared to a standard VAR, this approach has the advantage of incorporating the information embedded in a large cross-section of bond prices. Moreover, the pricing equations provide new ways to assess the models ability to capture risk preferences and expectations. Our results suggest that (i) government decits aect long term interest rates: a one percentage point increase in the decit to GDP ratio, lasting for 3 years, will eventually increase the 10-year rate by 4050 basis points; (ii) this increase is partly due to higher expected spot rates, and partly due to higher risk premia on long term bonds; and (iii) the scal policy shocks account for up to 12％ of the variance of forecast errors in bond yields.
Qiang Dai Thomas Philippon
University of North Carolina at Chapel Hill New York University
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）