New-Keynesian Macroeconomics and the Term Structure

Seonghoon Cho, Antonio Moreno () and Geert Bekaert

No 04/05, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time varying inflation target and the natural rate of output which are filtered from macro and term structure data. We obtain large and significant estimates of the Phillips curve and real interest rate response parameters. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target dominates the variation in the level factor whereas the monetary policy shocks dominate the variation in the slope and curvature factors.

JEL-codes: E31 E32 E43 E52 G12 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2005-04-28
New Economics Papers: this item is included in nep-fin, nep-mac, nep-mon and nep-sea
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Citations: View citations in EconPapers (53)

Forthcoming, Journal of Money, Credit and Banking

Downloads: (external link)
http://www.unav.edu/documents/10174/6546776/1132755883_wp0405.pdf (application/pdf)

Related works:
Journal Article: New Keynesian Macroeconomics and the Term Structure (2010)
Journal Article: New Keynesian Macroeconomics and the Term Structure (2010)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2006)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2005)
Working Paper: New-Keynesian Macroeconomics and the Term Structure (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp0405

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