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Macro-finance term structure analysis using structural vector autoregression

Title
Macro-finance term structure analysis using structural vector autoregression
Authors
Yun J.
Ewha Authors
윤재호
SCOPUS Author ID
윤재호scopus
Issue Date
2012
Journal Title
Journal of Economic Theory and Econometrics
ISSN
1229-2893JCR Link
Citation
vol. 23, no. 4, pp. 278 - 311
Indexed
SCOPUS scopus
Abstract
This paper analyzes the macro-finance term structure model for the Korean government bonds by using the dynamic Nelson-Siegel model. We investigate the impulse responses of the term structure to structural shocks by converting the reduced-form VAR implied by the dynamic Nelson-Siegel model into the structural VAR representation. Our emprical analysis provides the following. First, from the in and out-of-sample analysis, we find that the macro-financeterm structure model provides a better fit than other models such as the random walk model and the yield-only model. Second, the impulse response analysis from structural VAR model shows that the effect of macro economy on the yield curve is more statistically substantial than the effect of the yield curve on the macro economy. Among the yield curve factors, in particular, the "slope" factor of the yield curve sensitively responds to the macro shocks. Lastly, we decompose the bond yields with various maturities into the expectation and term premium components. We find that changes in the short rates are mainly driven by variations of the expectation component, while the long rates are mostly driven by variations of the term premium component. The longer the maturity of the term premium is, the bigger effect it receives from the shocks of yield curve factors rather than those of the macro economic factors.
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사회과학대학 > 경제학전공 > Journal papers
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