Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models

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The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009, unknown): “The term premium in equation (37) can also be expressed more directly in terms of the stochastic discount factor, which can be useful for gaining intuition about how the term premium is related to the various economic shocks driving our DSGE model.”
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, unknown): “This implies that to explain the time-varying risks of nominal bonds, one needs a model that allows changes over time in the covariances of both in ation and real interest rates with the real economy and the stock market.”
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (2013, background): “Finally, Rudebusch and Wu (2008) provide an example of a macrofinance specification that employs more macroeconomic structure and includes both rational expectations and inertial elements.”
Monetary Policy Inertia: Fact or Fiction? (2006, unknown): “The complete parameter estimates and details are in Rudebusch and Wu (2006) ; however, of particular interest for policy inertia are the estimates of ρS, which is a minuscule .026, and of ρu, which is .975.”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.”