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dc.contributor.authorChadha, Jagjit S.
dc.contributor.authorHolly, Sean
dc.date.accessioned2006-05-23T14:35:33Z
dc.date.available2006-05-23T14:35:33Z
dc.date.issued2006-05
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/183625
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/183625
dc.description.abstractMany have questioned the empirical relevance of the Calvo-Yun model. This paper appends three widely-studied macroeconomic models (Calvo-Yun, Hybrid and Svensson) with forward rate curves. 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 with the observed behaviour in forward rates. We find limited support for Calvo-Yun model in terms of fit with the observed yield curve but we find some support for each of the Hybrid and Svensson models. We conclude that macroeconomic persistence seems to be priced into the yield curve.en
dc.format.extent439560 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCWPE;0640
dc.subjectMacromodelsen
dc.subjectYield Curveen
dc.subjectPersistenceen
dc.titleMacroeconomic Models and the Yield Curve: An assessment of the Fiten
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5373


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