Targeting Long Rates in a Model with Segmented Markets
构建了一个金融市场分割模型，其中金融机构的净资产限制了期限结构间的套利，并嵌入新凯恩斯框架。估计结果显示，央行购买资产对收益率和实际经济活动有显著影响，将期限溢价纳入泰勒规则可带来福利改善，直接盯住期限溢价的政策能隔离金融部门冲击对实体经济的影响。
This paper develops a model of segmented financial markets in which the net worth of financial institutions limits the degree of arbitrage across the term structure. The model is embedded into the canonical Dynamic New Keynesian (DNK) framework. We estimate the model using data on the term premium. Our principal results include the following. First, the estimated segmentation coefficient implies a nontrivial effect of central bank asset purchases on yields and real activity. Second, there are welfare gains to having the central bank respond to the term premium, e.g., including the term premium in the Taylor Rule. Third, a policy that directly targets the term premium sterilizes the real economy from shocks originating in the financial sector. A term-premium peg can have significant welfare effects.