Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - Centrum voor Economische Studiën, Faculteit Economie … - 2001
In this paper, we present a stylized continuous time model integrating the macroeconomy and the bond markets. We use this framework to estimate (real) interest rate policy rules using information contained in both macroeconomic variables (i.e. output and inflation) and in the term structure of...
