三方程模型中的倒收益曲线

IF 1.1 Q3 ECONOMICS
Leila Davis, Thomas R. Michl
{"title":"三方程模型中的倒收益曲线","authors":"Leila Davis, Thomas R. Michl","doi":"10.1057/s41302-024-00264-7","DOIUrl":null,"url":null,"abstract":"<p>The power of an inverted yield curve to predict recessions is widely discussed in the financial press, yet most undergraduate textbooks provide little discussion of this stylized fact. This paper fills this gap by extending a 3-equation textbook model to include an accessible treatment of a term structure of interest rates formed by the one-period policy rate and a two-period rate that obeys the Fisher Equation. The Phillips curve features partially anchored adaptive expectations, while financial markets and the central bank have perfect foresight. Using this framework, we show that raising the policy rate in response to an inflation shock inverts the yield curve. Whether this inversion foreshadows a recession, however, depends on the bank’s monetary policy rule, which we illustrate using numerical examples. In particular, we show that, with anchoring and an output-gap averse central bank, inflation can stabilize and the yield curve can invert without an ensuing recession.</p>","PeriodicalId":45363,"journal":{"name":"Eastern Economic Journal","volume":"50 1","pages":""},"PeriodicalIF":1.1000,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Inverted Yield Curve in a 3-Equation Model\",\"authors\":\"Leila Davis, Thomas R. Michl\",\"doi\":\"10.1057/s41302-024-00264-7\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>The power of an inverted yield curve to predict recessions is widely discussed in the financial press, yet most undergraduate textbooks provide little discussion of this stylized fact. This paper fills this gap by extending a 3-equation textbook model to include an accessible treatment of a term structure of interest rates formed by the one-period policy rate and a two-period rate that obeys the Fisher Equation. The Phillips curve features partially anchored adaptive expectations, while financial markets and the central bank have perfect foresight. Using this framework, we show that raising the policy rate in response to an inflation shock inverts the yield curve. Whether this inversion foreshadows a recession, however, depends on the bank’s monetary policy rule, which we illustrate using numerical examples. In particular, we show that, with anchoring and an output-gap averse central bank, inflation can stabilize and the yield curve can invert without an ensuing recession.</p>\",\"PeriodicalId\":45363,\"journal\":{\"name\":\"Eastern Economic Journal\",\"volume\":\"50 1\",\"pages\":\"\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2024-02-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Eastern Economic Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1057/s41302-024-00264-7\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Eastern Economic Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1057/s41302-024-00264-7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

摘要

金融媒体广泛讨论了收益率曲线倒挂对经济衰退的预测能力,但大多数本科教科书对这一典型事实的讨论却很少。本文对教科书中的三方程模型进行了扩展,加入了对由一期政策利率和服从费雪方程的二期利率构成的利率期限结构的简便处理,从而填补了这一空白。菲利普斯曲线的特点是部分锚定的适应性预期,而金融市场和中央银行具有完美的预见性。利用这一框架,我们表明,为应对通胀冲击而提高政策利率会使收益率曲线倒挂。然而,这种倒挂是否预示着经济衰退,取决于银行的货币政策规则,我们将用数字例子来说明这一点。特别是,我们表明,在锚定和厌恶产出缺口的中央银行的作用下,通胀可以稳定,收益率曲线可以倒挂,而不会随之出现衰退。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

The Inverted Yield Curve in a 3-Equation Model

The Inverted Yield Curve in a 3-Equation Model

The power of an inverted yield curve to predict recessions is widely discussed in the financial press, yet most undergraduate textbooks provide little discussion of this stylized fact. This paper fills this gap by extending a 3-equation textbook model to include an accessible treatment of a term structure of interest rates formed by the one-period policy rate and a two-period rate that obeys the Fisher Equation. The Phillips curve features partially anchored adaptive expectations, while financial markets and the central bank have perfect foresight. Using this framework, we show that raising the policy rate in response to an inflation shock inverts the yield curve. Whether this inversion foreshadows a recession, however, depends on the bank’s monetary policy rule, which we illustrate using numerical examples. In particular, we show that, with anchoring and an output-gap averse central bank, inflation can stabilize and the yield curve can invert without an ensuing recession.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
2.10
自引率
0.00%
发文量
27
期刊介绍: The Eastern Economic Journal, a quarterly publication of the Eastern Economic Association, was established in 1973. The EEJ publishes papers written from every perspective, in all areas of economics and is committed to free and open intellectual inquiry from diverse philosophical perspectives. It welcomes manuscripts that are methodological and philosophical as well as empirical and theoretical. Readability and general interest are major factors in publication decision.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信