Term Structure, Inflation, and Real Activity
构建了一个内在一致的结构模型，对利率期限结构、通胀和产出增长的动态施加横截面约束，基于1960-2005年美国数据估计，提供了实际利率、预期通胀和通胀风险溢价的期限结构，并发现该模型在样本外预测上优于替代模型。
Abstract This paper estimates an internally consistent structural model that imposes cross-sectional restrictions on the dynamics of the term structure of interest rates, inflation, and output growth. Distinct from previous term structure settings, this model introduces both time-varying central tendencies and a stochastic conditional mean of output growth. The estimation of the model, which is based on U.S. data over a 1960 to 2005 sample period, provides reliable estimates for the implicit term structures of real interest rates, expected inflation rates, and inflation risk premia, as well as for expectations of macroeconomic variables. The model has better out-of-sample forecasting properties than a number of alternative models, and it contradicts the puzzling evidence that during the “Great Moderation” in inflation subsequent to the mid-1980s, the forecasting ability of structural models deteriorated with respect to atheoretic statistical models.