The Yield Curve and Macroeconomic Dynamics*
证明，包含名义刚性的微观基础DSGE模型能成功复制债券收益率数据的关键特征，包括可观的期限溢价和波动的长期收益率，同时较好地拟合消费增长和通胀的样本矩。
We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data, including sizeable term premia and volatile long-term yields, which have previously been considered puzzling in general equilibrium frameworks. At the same time, sample moments of consumption growth and inflation can be fit relatively well. The improved model performance does not arise directly from the presence of nominal rigidities. However, this feature introduces (short-run) monetary non-neutrality, so that monetary policy affects consumption dynamics and bond prices. A high degree of 'interest rate smoothing' in the policy rule is essential for our results. Copyright © European Central Bank. Journal compilation © Royal Economic Society 2008.