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首页> 外文期刊>Journal of Economic Dynamics and Control >Macroeconomic models and the yield curve: An assessment of the fit
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Macroeconomic models and the yield curve: An assessment of the fit

机译：宏观经济模型和收益率曲线：拟合度评估

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摘要

Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.
机译：许多人质疑卡尔沃-云模型的经验相关性。本文为三个广泛研究的宏观经济模型（Calvo-Yun，hybrid和Svensson）添加了期限结构。我们从对收益率曲线的观察中回退了最接近收益率曲线的水平，斜率和曲率的潜在宏观经济模型。对于每种模型，我们都跟踪收益率曲线对宏观经济冲击的响应。我们根据观察到的利率行为评估每个模型的拟合度，并根据观察到的收益率曲线找到对Calvo-Yun模型的有限支持，我们发现对混合模型的某些支持，但Svensson模型表现最佳。

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