Arbeitspapier
A DSGE model with Endogenous Term Structure
In this paper, we propose a DSGE model with the term structure of interest rates drawing on the framework introduced by Andrés et al. (2004) and Marzo et al. (2008). In particular, we reproduce segmentation in financial markets by introducing bonds of different maturities and bond adjustment costs non-zero at the steady state, introducing a structural liquidity frictions among bonds with different maturities: agents are assumed to pay a cost whenever they trade bonds. As a result, the model is able to generate a non-zero demand for bonds of different maturities, which become imperfect substitutes, due to differential liquidity conditions. The main properties of the model are analysed through both simulation and estimation exercises. The importance of the results are twofold. On one hand, the calibrated model is able to replicate the stylized facts regarding the yield curve and the term premium in the US over the period 1987:3-2011:3, without compromising its ability to match macro dynamics. On the other hand, the estimation, besides providing an empirical support to the theoretical setting, highlights the potentialities of the model to analyze the term premium in a microfounded macro framework. The results match very closely the behavior of actual yields, reflecting the recent activity of the Fed on longer maturities bonds.
- Language
-
Englisch
- Bibliographic citation
-
Series: Quaderni - Working Paper DSE ; No. 830
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Event
-
Geistige Schöpfung
- (who)
-
Falagiarda, Matteo
Marzo, Massimiliano
- Event
-
Veröffentlichung
- (who)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (where)
-
Bologna
- (when)
-
2012
- DOI
-
doi:10.6092/unibo/amsacta/4184
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Falagiarda, Matteo
- Marzo, Massimiliano
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Time of origin
- 2012
Other Objects (12)
The term structure of interest rates in a DSGE model
A DSGE Model with Endogenous Bank Risk-Taking
The term structure of interest rates in small open economy DSGE model
Credit, Endogenous Collateral and Risky Assets: A DSGE Model
Fiscal policy and the term structure of interest rates in a DSGE model
Endogenous risk in a DSGE model with capital-constrained financial intermediaries
The term structure of interest rates in a small open economy DSGE model with Markov switching
Solving linear DSGE models with structure-preserving doubling methods
Continuous - time term structure models
Why don't people pay attention? Endogenous Sticky Information in a DSGE Model
Oil shocks and endogenous markups: results from an estimated euro area DSGE model
Why don't people pay attention? Endogenous sticky information in a DSGE Model
The term structure of interest rates in a DSGE model
A DSGE Model with Endogenous Bank Risk-Taking
The term structure of interest rates in small open economy DSGE model
Credit, Endogenous Collateral and Risky Assets: A DSGE Model
Fiscal policy and the term structure of interest rates in a DSGE model
Endogenous risk in a DSGE model with capital-constrained financial intermediaries
The term structure of interest rates in a small open economy DSGE model with Markov switching
Solving linear DSGE models with structure-preserving doubling methods
Continuous - time term structure models
Why don't people pay attention? Endogenous Sticky Information in a DSGE Model
Oil shocks and endogenous markups: results from an estimated euro area DSGE model
Why don't people pay attention? Endogenous sticky information in a DSGE Model
The term structure of interest rates in a DSGE model
A DSGE Model with Endogenous Bank Risk-Taking
The term structure of interest rates in small open economy DSGE model
Credit, Endogenous Collateral and Risky Assets: A DSGE Model
Fiscal policy and the term structure of interest rates in a DSGE model
Endogenous risk in a DSGE model with capital-constrained financial intermediaries
The term structure of interest rates in a small open economy DSGE model with Markov switching
Solving linear DSGE models with structure-preserving doubling methods
Continuous - time term structure models
Why don't people pay attention? Endogenous Sticky Information in a DSGE Model
Oil shocks and endogenous markups: results from an estimated euro area DSGE model