A structural decomposition of the US yield curve英文版本.pdfVIP

ARTICLE IN PRESS Journal of Monetary Economics 56 (2009) 545–559 Contents lists available at ScienceDirect Journal of Monetary Economics journal homepage: /locate/jme A structural decomposition of the US yield curve $ Ferre De Graeve a,, Marina Emiris b, Raf Wouters b a Federal Reserve Bank of Dallas, 2200 N. Pearl St., Dallas, TX 75201, USA b National Bank of Belgium, Berlaimontlaan 4, 1000 Brussels, Belgium a r t i c l e i n f o a b s t r a c t Article history: By expanding the macro part of macro-finance models, historical fluctuations in US Received 17 September 2008 bond yields turn out to be largely consistent with the rational expectations hypothesis. Received in revised form We estimate a medium-scale macro-finance DSGE model of the term structure to 25 March 2009 establish this. Our finding contrasts with existing macro-finance models and suggests Accepted 25 March 2009 that their—small-scale or non-structural—perspective on the macroeconomy mutes Available online 10 April 2009 expectations, thereby underestimating the expectations hypothesis’ potential. Out-of- JEL classification: sample forecasts are competitive with more flexible term structure models. Given the E31 empirical validation, we interpret various episodes through the lens