期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2011
期号：2
页码：2-19
出版社：Instituto de Estudios Bursátiles
摘要：The basic asset pricing equation is adapted to include the effects of unemployment, con- sumers' expectations, the price level and money supply on money market rates and gov- ernment bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer Confidence Index. The price level is in- corporated in the aggregate marginal utility function using production price index (PPI) as a proxy. An affine term structure model is derived using a state space system with an observation equation which links observable yields to these macroeconomic variables and a state equation which describes the dynamics of these variables. Unemployment and consumer confidence index will have a shift and a slope effect on the yield curve, for front-end yields moving faster than in the long end. Production price index exhibits a twist effect (flattening or steepening of the curve) which results in front-end yields shifting in opposite directions to the long end of the curve. This empirical work shows that yields are negatively correlated to money supply, as expected in classical IS-LM mod- els. And that money supply exhibits a slope effect, with the front-end of the curve shifting faster than the longer end.
关键词：Macroeconomic releases; Term structure of interest rates; Dynamic factors ; Affine term structure models.
