Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models
研究1980年代中期美国利率期限结构动态的转变，通过标准回归和无套利模型证实这一转变主要源于“水平”因子风险定价的变化，并利用宏观金融模型将其与美联储通胀目标的动态和风险定价变化联系起来。
This paper examines a shift in the dynamics of the term structure of interest rates in the United States during the mid‐1980s. We document this shift using standard interest rate regressions and using dynamic, affine, no‐arbitrage models estimated for the pre‐ and post‐shift subsamples. The term structure shift largely appears to be the result of changes in the pricing of risk associated with a “level” factor. Using a macro‐finance model, we suggest a link between this shift in term structure behavior and changes in the dynamics and risk pricing of the Federal Reserve's inflation target as perceived by investors.