New Keynesian Macroeconomics and the Term Structure
在新凯恩斯宏观模型中引入无套利仿射期限结构模型，利用宏观和期限结构数据过滤不可观测的通胀目标和自然利率，发现期限结构信息有助于估计货币政策传导参数，并揭示不同宏观经济冲击对收益率曲线的影响。
This article complements the structural New Keynesian macro framework with a no‐arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro model with unobservable processes for the inflation target and the natural rate of output that are filtered from macro and term structure data. We find that term structure information helps generate large and significant parameters governing the monetary policy transmission mechanism. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target shock dominates the variation in the “level factor” whereas monetary policy shocks dominate the variation in the “slope and curvature factors.”