News and the Term Structure in General Equilibrium

This paper investigates the impact of agents' expectations about future fundamental economic disturbances (news) on macroeconomic dynamics. Several intuitive tests provide insight into the information content of the yield curve and its' ability to identify these 'news' disturbances. Bayesian estimation of a dynamic stochastic general equilibrium (DSGE) model using conventional macroeconomic aggregates and term structure data suggests that news shocks are important for understanding economic fluctuations

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Year of publication:	[2007]
Authors:	Davis, Joshua Mark
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Allgemeines Gleichgewicht \| General equilibrium \| Zinsstruktur \| Yield curve \| Theorie \| Theory \| Ankündigungseffekt \| Announcement effect

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Extent:	1 Online-Ressource (46 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2007 erstellt
Other identifiers:	10.2139/ssrn.1022631 [DOI]
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C22 - Time-Series Models ; E22 - Capital; Investment (including Inventories); Capacity ; E27 - Forecasting and Simulation ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012728810