Stochastic Volatility in a Macro‐Finance Model of the U.S. Term Structure of Interest Rates 1961–2004
将主流金融文献中的“平方根”随机波动性引入宏观金融模型，发现该模型优于传统同方差模型，因为它与宏观经济时间序列中的平方根波动性一致，从而连接了主流金融的随机波动性与奥肯-弗里德曼型宏观经济波动。
This paper generalizes the standard homoscedastic macro‐finance model by allowing for stochastic volatility, using the “square root” specification of the mainstream finance literature. Empirically, this specification dominates the standard model because it is consistent with the square root volatility found in macroeconomic time series. Thus it establishes an important connection between the stochastic volatility of the mainstream finance model and macro‐economic volatility of the Okun–Friedman type. This research opens the way to a richer specification of both macro‐economic and term structure models, incorporating the best features of both macro‐finance and mainstream finance models.