Econ Papers Daily / 期刊论文
均衡收益率曲线与利率下限
Equilibrium Yield Curves and the Interest Rate Lower Bound
摘要
We study the term structure of default-free interest rates in a sticky-price model with an occasionally binding effective lower bound (ELB) constraint on interest rates and recursive preferences. The ELB constraint induces state-dependency in the dynamics of term premiums by affecting macroeconomic uncertainty and interest-rate sensitivity to economic activities. In a model calibrated to match key features of the aggregate economy and term structure dynamics in the U.S. above and at the ELB, we find that the ELB constraint typically lowers the absolute size of term premiums at the ELB and increases their volatility around the time of liftoff. The central bank's announcement to keep the policy rate at the ELB for longer than previously expected lowers the expected short rate path, but its effect on term premiums depends on the risk exposure of bonds to the macroeconomy; while the announcement increases term premiums if bonds are a hedge against economic downturns, it decreases them otherwise.
中文摘要
我们构建了一个校准的DSGE模型，其中短期名义利率面临偶尔约束的有效下界（ELB），该模型匹配了美国宏观经济和利率期限结构的关键特征。我们表明，ELB约束通过影响宏观经济不确定性和利率对经济活动的敏感度，引发期限溢价的态依赖性，通常降低期限溢价的绝对规模，并在接近ELB时产生独特的动态变化。在ELB处，中央银行的前瞻指引降低了预期短期利率路径，但根据需求冲击或供给冲击的主导地位，期限溢价可能增加或减少。