Macro Factors and the Affine Term Structure of Interest Rates
从动态随机一般均衡模型推导出债券收益率的仿射期限结构模型，用可观测的宏观变量作为期限结构因子，并通过校准和模拟解释了金融文献中潜在期限结构因子的宏观经济含义。
This paper formulates an affine term structure model of bond yields from a dynamic stochastic general equilibrium model, with observable macro state variables as the term structure factors. Model implications for the joint macro-term structure dynamics are consistent with the empirical patterns from the VAR estimation. Model calibration and simulation exercises also provide clear macroeconomic interpretations of the latent term structure factors as found in the finance literature: most of the "slope" factor movement can be explained by exogenous monetary policy shocks, and the "level" factor movement is closely related to the technology shocks.