英国利率期限结构的动态

IF 2.2 3区 经济学 Q2 BUSINESS, FINANCE
F. Bianchi, H. Mumtaz, Paolo Surico
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引用次数: 18

摘要

本文模拟了货币政策、利率期限结构和英国经济在不同政策体制下的演变。我们利用一个时变VAR模型,加上收益率曲线上的因素,来模拟宏观经济和期限结构之间的相互作用。我们的研究结果表明,水平、斜率和曲率因素表现出实质性的时间变化,水平因素与通胀预期的措施密切相关。我们的估计表明,收益率曲线和宏观经济变量的波动性在1992年前后大幅下降,当时英国首次采用通货膨胀目标制。在通货膨胀目标制下,货币政策冲击相对较小,通胀预期也低于1992年以前的水平。随着时间的推移,宏观经济与收益率曲线之间的联系也发生了变化,在1997年英国央行(Bank of England)独立后,水平因素的波动对通胀的影响变得不那么重要了。在当前体制下,政策利率似乎对通胀和失业率做出了更为系统的反应。我们使用时变宏观金融模型来重新审视预期假设的证据。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Dynamics of the Term Structure of UK Interest Rates
This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. We model the interaction between the macroeconomy and the term structure using a time-varying VAR model augmented with the factors from the yield curve. Our results suggest that the level, slope and curvature factors display substantial time variation, with the level factor moving closely with measures of inflation expectations. Our estimates indicate a large decline in the volatility of both yield curve and macroeconomic variables around 1992, when the United Kingdom first adopted an inflation-targeting regime. During the inflation-targeting regime, monetary policy shocks have been more muted and inflation expectations have been lower than in the pre-1992 era. The link between the macroeconomy and the yield curve has also changed over time, with fluctuations in the level factor becoming less important for inflation after the Bank of England independence in 1997. Policy rates appear to have responded more systematically to inflation and unemployment in the current regime. We use our time-varying macro-finance model to revisit the evidence on the expectations hypothesis.
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来源期刊
European Journal of Finance
European Journal of Finance BUSINESS, FINANCE-
CiteScore
5.40
自引率
8.00%
发文量
72
期刊介绍: The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.
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