Term Premium Dynamics and the Taylor Rule

摘要：

We explore the bond-pricing implications of an endowment economy where habit-formation pref- erences result in time-varying term premiums in real yields, and a monetary policy Taylor rule determines ination and nominal term premiums. A calibrated version of the model matches the observed term structure of both the mean and volatility of yields. Unlike a comparable model with exogenous ination, a Taylor rule that matches the properties of observed ination creates nominal term premiums that remain volatile even at long maturities. Experiments with different parameter values for the Taylor rule demonstrate that the nominal term premiums can be highly sensitive to monetary policy, and that the recent decrease in the level and volatility of the nominal yields could be the result of a more aggressive monetary policy.

关键词： Affine term structure general equilibrium time-varying term premiums monetary policy

作者: Michael Gallmeyer Burton Hollifield Francisco Palomino Stanley Zin

作者单位: Mays Business School,Texas A&M University Tepper School of Business,Carnegie Mellon University Ross School of Business,The University of Michigan Tepper School of Business,Carnegie Mellon University,and NBER

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-37

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）