(Un)expected monetary policy shocks and term premia
构建了一个内生时变期限溢价的定量结构模型，发现未来政策新闻（而非意外冲击）对整条收益率曲线的期限溢价有显著影响，为实证文献中的矛盾估计提供了合理解释。
Summary The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates, and term premia is essential to understanding this channel. To accomplish this, we provide a quantitative structural model with endogenous, time‐varying term premia that are consistent with empirical findings. News about future policy, in contrast to unexpected policy shocks, has quantitatively significant effects on term premia along the entire term structure. This provides a plausible explanation for partly contradictory estimates in the empirical literature.