Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264477 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Applied Econometrics [ISSN:] 1099-1255 [Volume:] 37 [Issue:] 3 [Publisher:] Wiley Periodicals, Inc. [Place:] Hoboken, USA [Year:] 2021 [Pages:] 477-499
Publisher: 
Wiley Periodicals, Inc., Hoboken, USA
Abstract: 
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates, and term premia is essential to understanding this channel. To accomplish this, we provide a quantitative structural model with endogenous, time‐varying term premia that are consistent with empirical findings. News about future policy, in contrast to unexpected policy shocks, has quantitatively significant effects on term premia along the entire term structure. This provides a plausible explanation for partly contradictory estimates in the empirical literature.
Subjects: 
Bayesian estimation
DSGE model
monetary policy
time‐varying risk premia
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article
Document Version: 
Published Version

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