主讲人:孙小津经济学助理教授

单位：德克萨斯大学艾尔帕索分校

题目: Yield Curve and the Macroeconomy: Evidence from a DSGE Model with Housing

时间:2020年11月27日（周五）上午10:00

参与方式:腾讯会议

会议ID：733 943 5762

会议密码：433350

摘要：The slope of the yield curve has long been found to be a useful predictor of future economic activity, but the relationship is unstable. One change we have identified in this paper is that, starting from the 1990s, movements at the long end of the yield curve have an increase in predictive power. We use a medium-scale DSGE model with a housing sector and a yield curve as a guide to find out the sources of such change. The model implies that an increase in the short-term interest rate and a decrease in the long-term interest rate have different impacts on the economy, and to use the slope as a predictor one needs to distinguish movements at the two ends of the yield curve. Based on simulated data from the model, we find that nominal wage rigidities and the capital adjustment costs are closely related to the predictive power of the yield curve. This result is further confirmed with actual data.