以長期風險模型結合貨幣政策探究利率的期限結構

Abstract

本研究計畫主要探討長期風險模型是否能夠同時解釋消費、通貨膨脹與利率期限結構的一般特徵。不同於一般的長期風險模型，本研究試圖將貨幣政策引入模型，讓資產訂價模型所隱含的利率與貨幣政策設定的利率相等，如此可使通貨膨脹成為內生變數而非外生給定的過程，有助於了解貨幣政策如何同時影響通貨膨脹與利率動態。此模型具有近似顯示解，均衡的通貨膨脹與殖利率均不須仰賴數值方法求解。此模型將使用美國戰後的總體經濟與殖利率季資料進行測定(calibration)，以檢驗此模型之特徵是否與實際資料相符。測定後的模型也將用於探究通貨膨脹與名目殖利率的風險來源，以了解長期消費成長風險、總體經濟波動風險與貨幣政策衝擊如何影響通貨膨脹與殖利率曲線。

This research attempts to examine the performance of an asset pricing model with long- run risks in explaining salient facts of interest rate dynamics. Unlike most previous studies with long-run risks, I endogenize the process of in ation through a monetary policy rule. The model is tractable in the sense that approximate analytical solution is available. Quarterly U.S. data of consumption, in ation and discount bond yields are used to calibrate the model. In addition to taking model to data, the calibrated model will also be employed to study the sources of in ation and bond yields risks, especially how long-run consumption risk, stochastic volatility risk and monetary policy shock a ect in ation and interest rate dynamics.