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79. MONETARY POLICY SHOCKS AND TERM PREMIA 47 For the application in this paper, we assume that the vector F̂ contains the mean of inflation and the means of proxies for the level, slope, and curvature factors of the yield curve. We include the mean of inflation because the non-linearities in our model impose strong precautionary motives that push the predicted ergodic mean of inflation away from its deterministic steady state, π̄, as is also discussed by Tallarini (2000) and Andreasen (2011). Regarding L FM (θ) |F̂
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80. MONETARY POLICY SHOCKS AND TERM PREMIA 63 References Appendix Adrian, T., R. K. Crump, and E. Moench (2013): “Pricing the term structure with linear regressions,” Journal of Financial Economics, 110, 110–138.
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81. MONETARY POLICY SHOCKS AND TERM PREMIA 65 Rudebusch, G. D. and T. Wu (2007): “Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models,” Journal of Money, Credit and Banking, 39, 395–422.

82. Nakamura, E. and J. Steinsson (2017): “High frequency identification of monetary non-neutrality: The information effect,” Quarterly Journal of Ecnomics, forthcoming.
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84. Note: The simulated moments are based on 1200 parameter vector draws from the posterior. For each draw, we simulate 1000 time series for each variable of interest. After removing a burn-in of 5000 periods for each simulation the final simulated time series have the same length (T=100) as the vector of observables. The number in brackets indicate 5% and 95% probabilities. All returns are measured in annualized percentage points and all risk premia are measured in annualized basis points.
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85. Note: The solid line and shaded areas show median response, the 68%, and 90% confidence bands from the IV-LP with the model implied historical variables as dependent variable. The circles indicate the theoretical, true response. Additionally, the dots and vertical lines in the right panel show median response and 90% confidence bands from the IV-LP with term premia estimates from Adrian et al. (2013). We use the Newey-West correction for the standard errors.
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92. Rudebusch, G. D. and E. T. Swanson (2008): “Examining the bond premium puzzle with a DSGE model,” Journal of Monetary Economics, 55, S111–S126. 36 ——— (2012): “The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks,” American Economic Journal: Macroeconomics, 4, 105–43.

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96. Stacking our ny endogenous variables into the vector yt and our nε normally distributed exogenous shocks into the vector εt, we collect our equations into the following vector of nonlinear rational expectations difference equations 0 = Et[f(yt+1, yt, yt−1, εt)] = F̂(yt−1, εt) (B-1) 22Among others, recent third order perturbation approximations for DSGE models of the term structure include Rudebusch and Swanson (2008, 2012), van Binsbergen et al. (2012) Andreasen (2012), and Andreasen et al. (2017). While second order approximations such as Hördahl et al. (2008) provide nonzero but constant premia and De Graeve, Emiris, and Wouters (2009) is an example of a purely linear model that neglects endogenous premia. Additionally, many recent perturbations, Andreasen and Zabczyk (2015), Andreasen (2012), Andreasen et al. (2017), prune to ensure asymptotic stability.
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101. Tallarini, T. D. (2000): “Risk-sensitive real business cycles,” Journal of Monetary Economics, 45, 507–532.

102. The exact meaning of these risk adjustments remains unclear, however, whereas the method by Meyer-Gohde (2016) adjusts the coefficients out to the second moments in shocks around the mean of the endogenous variables, itself approximated out to the second moments in shocks. Thus instead of either a linear certainty-equivalent or nonlinear non-certainty-equivalent approximation, the method constructs a linear non-certainty-equivalent approximation. By using higher order derivatives of the policy function at the deterministic steady state, it approximates the ergodic mean of endogenous variables and the first derivatives of the policy function around this ergodic mean. Unlike standard higher order polynomial perturbations22 or affine approximation methods,23 this linear in states approximation gives us significant computational advantages.
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103. To maintain the macroeconomic fit of the model, we have to ensure that the IES is below one, with the prior being a beta distribution. We follow Swanson (2012) by using his closedform expressions for risk aversion, RRA, which takes into account that households can vary their labor supply. Hence, our model implies (D-8) RRA = γ 1 − b exp(z̄+) + γ χ 1 − l
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104. Treasury Bond Yields: 1-year, 2-year, 3-year, 5-year, and 10-year zero-coupon bond yields measured end of quarter. The original series are daily figures based on the updated series by Adrian et al. (2013). Source: https://www.newyorkfed.org/research/data_indicators/ term_premia.html Nominal Interest Rate Forecasts: 1-quarter (TBILL3) and 4-quarter (TBILL6) ahead forecasts of the 3-Month Treasury Bill. The time series are the median responses by the Survey of Professional Forecasters from the Federal Reserve Bank of Philadelphia.
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105. van Binsbergen, J. H., J. Fernández-Villaverde, R. S. Koijen, and J. RubioRamı́rez (2012): “The term structure of interest rates in a DSGE model with recursive preferences,” Journal of Monetary Economics, 59, 634–648.

106. van Binsbergen, J. H., J. Fernández-Villaverde, R. S. Koijen, and J. RubioRamı́rez (2012): “The term structure of interest rates in a DSGE model with recursive preferences,” Journal of Monetary Economics, 59, 634–648.
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107. Wachter, J. A. (2006): “A consumption-based model of the term structure of interest rates,” Journal of Financial Economics, 79, 365–399.

108. We use the measure by Romer and Romer (2004) as updated by Wieland and Yang (2016).
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109. Weil, P. (1989): “The equity premium puzzle and the risk-free rate puzzle,” Journal of Monetary Economics, 24, 401–421.

110. Wieland, J. F. and M.-J. Yang (2016): “Financial Dampening,” NBER Working Papers 22141, National Bureau of Economic Research, Inc.
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15. No-Arbitrage pricing of GDP-Linked bonds. (2021). Eguren Martin, Fernando ; Yan, Wen ; Meldrum, Andrew.
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16. Inflation targeting and expectation anchoring: Evidence from developed and emerging market economies. (2021). Kim, Dae Hwan ; Suh, Sangwon.
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17. Measuring Market Expectations. (2021). Baumeister, Christiane.
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18. Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Sustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
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19. The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium. (2021). Ibarra-Ramirez, Raul .
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20. Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks. (2020). Tillmann, Peter ; PeterTillmann, .
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21. Official Demand for U.S. Debt: Implications for U.S. Real Rates. (2020). Zinna, Gabriele ; Kaminska, Iryna.
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22. Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme. (2020). Lemke, Wolfgang ; Werner, Thomas.
    In: Journal of Banking & Finance.
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23. Bootstrapping factor models with cross sectional dependence. (2020). Perron, Benoit ; Gonalves, Silvia.
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    RePEc:eee:econom:v:218:y:2020:i:2:p:476-495.

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24. Estimation of Impulse response functions with term structure local projections. (2020). McNeil, James.
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25. The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi .
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26. No-arbitrage pricing of GDP-linked bonds. (2020). Yan, Wen ; Eguren Martin, Fernando ; Meldrum, Andrew ; Eguren-Martin, Fernando.
    In: Bank of England working papers.
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27. Equity tail risk in the treasury bond market. (2020). Ruzzi, Dario ; Rubin, Mirco.
    In: Temi di discussione (Economic working papers).
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28. Estimating the term structure with linear regressions: Getting to the roots of the problem. (2019). Spencer, Peter ; Golinski, Adam.
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29. A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt. (2019). Rudebusch, Glenn.
    In: The Review of Economics and Statistics.
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30. A Unified Approach to Measuring u*. (2019). Sahin, Aysegul ; Giannoni, Marc ; Eusepi, Stefano ; Crump, Richard.
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31. A unified approach to measuring u*. (2019). Sahin, Aysegul ; Giannoni, Marc ; Crump, Richard ; Eusepi, Stefano.
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32. The threshold effect of market sentiment and inflation expectations on gold price. (2019). Xu, Xiangyun ; Jia, Fei ; Huang, Xiaoyong ; Shi, YU.
    In: Resources Policy.
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33. A Unified Approach to Measuring u*. (2019). Giannoni, Marc ; Crump, Richard ; Sahin, Aysegul ; Eusepi, Stefano.
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34. An assessment of recent trends in market-based expected iflation in the euro area. (2019). Pericoli, Marcello.
    In: Questioni di Economia e Finanza (Occasional Papers).
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35. Explaining Bond Return Predictability in an Estimated New Keynesian Model. (2019). Andreasen, Martin M.
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36. With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Geiger, Felix ; Schupp, Fabian.
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37. With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Schupp, Fabian ; Geiger, Felix.
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38. Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. (2018). Finlay, Richard ; Hambur, Jonathan.
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39. Bootstrapping Factor Models With Cross Sectional Dependence. (2018). Perron, Benoit ; Gonalves, Silvia.
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40. Bootstrapping factor models with cross sectional dependence. (2018). Perron, Benoit ; Gonalves, Silvia.
    In: Cahiers de recherche.
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41. Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
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42. Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy. (2018). Katagiri, Mitsuru.
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43. Interest rate conundrums in the twenty-first century. (2018). Wright, Jonathan ; Lucca, David ; Hanson, Samuel.
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44. Oil price dynamics and market-based inflation expectations. (2018). Reboredo, Juan ; Hammoudeh, Shawkat.
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    RePEc:eee:eneeco:v:75:y:2018:i:c:p:484-491.

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45. The information in the joint term structures of bond yields. (2018). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew.
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46. (Un)expected monetary policy shocks and term premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin.
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47. Bond Premiums and the Natural Real Rate of Interest. (2017). Smith, Andrew ; Hakkio, Craig.
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48. The TIPS Liquidity Premium. (2017). Christensen, Jens ; Riddell, Simon ; Andreasen, Martin M.
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49. A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt. (2017). Rudebusch, Glenn ; Christensen, Jens.
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    RePEc:fip:fedfwp:2017-07.

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50. The TIPS Liquidity Premium. (2017). Riddell, Simon ; Andreasen, Martin M.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-27.

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