宏观经济模型与期限结构.pdf

The Economic Journal, 118 (July ), 906–926. The Author(s). Journal compilation Royal Economic Society 2008. Published by Blackwell Publishing, 9600 Garsington Road, Oxford OX4 2DQ, UK and 350 Main Street, Malden, MA 02148, USA. A MACRO-FINANCE MODEL OF THE TERM STRUCTURE, MONETARY POLICY AND THE ECONOMY* Glenn D. Rudebusch and Tao Wu This article develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure of interest rates with standard macroeco- nomic aggregate relationships for output and inflation. Based on this combination of yield curve and macroeconomic structure and data, we obtain several interesting results: (1) the latent term structure factors from no-arbitrage finance models appear to have important macroeconomic and monetary policy underpinnings, (2) there is no evidence of a slow partial adjustment of the policy interest rate by the central bank, and (3) both forward-looking and backward-looking elements play roles in macroeconomic dynamics. Bonds of various maturities all trade simultaneously in a well-organised market at prices that appear to preclude residual opportunities for riskless financial arbitrage. Indeed, the assumption of no arbitrage is central to an enormous finance literature that is devoted to the empirical analysis of bond pricing and the yield curve. This research has found that almost all movements in the yield curve can be captured in a no-arbitrage framework in which yields are linear functions of a few unobservable or latent factors (Duffie and Kan, 1996; Dai and Singleton, 2000). However, while these popular affine no-arbitrage models do provide useful statistical descriptions of the term structure, they offer little insight into the economic nature of the underlying latent factors or forces