A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy
构建并估计了一个宏观金融模型，将期限结构的无套利金融模型与产出和通胀的宏观经济关系相结合，发现期限结构因子具有宏观经济和货币政策基础，且美联储政策利率不存在惯性。
This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure with standard macroeconomic aggregate relationships for output and inflation. From this new empirical formulation, we obtain several important results: (1) the latent term structure factors from finance no-arbitrage models appear to have important macroeconomic and monetary policy underpinnings, (2) there is no evidence of monetary policy inertia or a slow partial adjustment of the policy interest rate by the Federal Reserve, and (3) both forward-looking and backward-looking elements play important roles in macroeconomic dynamics.