期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2021
卷号：2021
语种：English
出版社：European Central Bank
摘要：We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r ∗ ), trend inflation (π ∗ ), and term premia. Similar to Bauer and Rudebusch (2020, AER), π ∗ and r ∗ constitute a time-varying trend for the nominal short-term rate in our model, rendering estimated term premia more stable than standard yield curve models operating with timeinvariant means. In line with the literature, our r ∗ estimates display a distinct decline over the last four decades.
