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首页> 外文期刊>Journal of financial economics >Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
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Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

机译：为什么高斯宏观金融期限结构模型是（几乎）无约束的因子-VAR

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摘要

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield curves and macro-variables studied in this literature, the estimated joint distribution within a canonical MTSM is nearly identical to the estimate from an economic-model-free factor vector-autoregression (factor-VAR), even when measurement errors are large. It follows that a canonical MTSM offers no new insights into economic questions regarding the historical distribution of the macro risk factors and yields, over and above what is learned from a factor-VAR. These results are rotation-invariant and, therefore, apply to many of the specifications in the literature.
机译：本文探讨了在高收益宏观融资期限结构模型（MTSM）中，当所有收益均定价不正确时，过滤和无套利对于风险条件和债券收益的整个条件分布的最大似然估计的含义。对于本文研究的典型收益率曲线和宏变量，即使测量误差很大，标准MTSM内的估计联合分布也几乎与无经济模型的因子向量自回归（factor-VAR）的估计相同。 。因此，除了从因子VAR获悉的知识之外，规范的MTSM并没有提供有关宏观风险因子和收益率历史分布的经济问题的新见解。这些结果是旋转不变的，因此适用于文献中的许多规范。

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