The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models

摘要

Current macroeconomic models provide appealing, succinct descriptions of business cycle dynamics in the United States and other countries, but less is known about the extent to which these models accurately replicate the economy's long-run characteristics. In part, this reflects that economists have far fewer observations about long-run behavior, given the limited sample sizes available. But while less is known about the long-run characteristics of the economy, many macroeconomic models impose very strong assumptions about this behavior ― that the long-run levels of inflation and the real interest rate are constant over time and perfectly known by all economic agents. This paper empirically tests those assumptions and proposes alternative ones.