The New Keynesian Model and Bond Yields
构建了一个新凯恩斯模型，解释宏观基本面与名义收益率曲线之间的联系，发现模型能匹配债券收益率、期限溢价等关键特征，并解释收益率曲线斜率对未来收益的预测能力。
Abstract This article presents a New Keynesian model to capture the linkages between macro fundamentals and the nominal yield curve. The model explains bond yields with a low level of news in expected inflation and plausible term premia. This implies that the slope of the yield curve predicts future bond yields and that risk-adjusted historical bond yields satisfy the expectations hypothesis. The model also explains the spanning puzzle, matches key moments for real bond yields, captures the evolution of the price-dividend ratio, and implies that the slope of the yield curve and the price-dividend ratio forecast excess equity returns.