Název: Yield Curve Dynamics and Fiscal Policy Shocks
Autoři: Kučera, A. ; Kočenda, Evžen ; Maršál, Aleš
Typ dokumentu: Výzkumné zprávy
Rok: 2022
Jazyk: eng
Edice: IES Working Papers, svazek: 4/2022
Abstrakt: We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage affine term structure modeling, where we account for time-varying macroeconomic trends in inflation and the equilibrium real interest rate. We stress in our empirical macro-finance framework the importance of timing in the response of yields to government spending. We find that the yield curve responds positively but mildly to a surprise in government spending shocks where the rise in risk-neutral yields is compensated by a drop in nominal term premia. The news shock in expectations about future expenditures decreases yields across all maturities. Complementarily, we also analyze the effect of fiscal policy uncertainty where higher fiscal uncertainty lowers yields.
Klíčová slova: Affine Term Structure Model; Fiscal policy; Government Expenditures; U.S. Treasury Yield Curve

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2022/E/kocenda-0556324.pdf
Původní záznam: http://hdl.handle.net/11104/0330850

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-508562


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