A Macro-Finance Model of the Term Structure , Monetary Policy , and the Economy ∗

@inproceedings{Rudebusch2003AMM,
  title={A Macro-Finance Model of the Term Structure , Monetary Policy , and the Economy ∗},
  author={Glenn D. Rudebusch and Tao Wu},
  year={2003}
}
  • Glenn D. Rudebusch, Tao Wu
  • Published 2003
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 interesting 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… CONTINUE READING
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No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables,

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  • 2003

The Excess Sensitivity of LongTerm Interest Rates: Evidence and Implications for Macroeconomic Models,

  • Gürkaynak, S Refet, Brian Sack, Eric Swanson
  • 2003

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