Chadha, Jagjit; Holly, Sean - Society for Computational Economics - SCE - 2006
-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 …