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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-finance term 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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참고문헌 (27)
참고문헌 신청
Ang, A. / 2003 / A No-arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables / Journal of Monetary Economics 50 : 745 ~ 787
Ang, A. / 2006 / What Does the Yield Curve Tell Us about GDP Growth / Journal of Econometrics 131 : 359 ~ 403
Ang, A. / 2007 / No-arbitrage Taylor Rule
Bank of International Settlements / 2005 / Zero-Coupon Yield Curves: Technical Documentation
Blanchard, O. J. / 1989 / The Dynamic Effects of Aggregate Demand and Supply Disturbances / American Economic Review 79 : 655 ~ 673
Ang, A. / 2006 / What Does the Yield Curve Tell Us about GDP Growth / Journal of Econometrics 131 : 359 ~ 403
Ang, A. / 2007 / No-arbitrage Taylor Rule
Bank of International Settlements / 2005 / Zero-Coupon Yield Curves: Technical Documentation
Blanchard, O. J. / 1989 / The Dynamic Effects of Aggregate Demand and Supply Disturbances / American Economic Review 79 : 655 ~ 673
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