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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 14 [Issue:] 2 [Year:] 2023 [Pages:] 689-716
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro- and yield-data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks," are a crucial driver of bond risk premia. We highlight three main results. First, our term premia on 10-year bonds are highly correlated with estimates from the affine literature, even if less markedly volatile. Second, uncertainty shocks also induce an increase in equity premia and exert downward pressure on consumption and inflation. An increase in equity premia will therefore be accompanied by a cut in policy interest rates, even if the policy rule does not directly react to equity prices. This model mechanism is consistent with the empirical evidence on the "Fed put." Third, model-implied long-term inflation expectations are less dogmatically anchored than survey-based measures over the 2000s.
Schlagwörter: 
Bayesian estimation
Fed put
monetary policy
regime switches
risk premia
term structure of interest rates
JEL: 
C11
C34
E40
E43
E52
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