15 mars 2022
BDF Paris
Séminaire Banque de France
Résumé
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r∗), trend inflation (π ∗), and term premia. Similar to Bauer and Rudebusch (2020, AER), π ∗ and r ∗ constitute a time-varying trend for the nominal short-term rate in our model, rendering estimated term premia more stable than standard yield curve models operating with timeinvariant means. In line with the literature, our r ∗ estimates display a distinct decline over the last four decades.
Mots-clés
Natural rate of interest,; r∗; equilibrium real rate; arbitrage-free Nelson-Siegel term structure model,; term premia; unobserved components; Bayesian estimation;
Codes JEL
- C11: Bayesian Analysis: General
- C32: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
- E43: Interest Rates: Determination, Term Structure, and Effects
- G12: Asset Pricing • Trading Volume • Bond Interest Rates
- E44: Financial Markets and the Macroeconomy
- E52: Monetary Policy