Chadha, Jagjit S.; Holly, Sean - In: Journal of Economic Dynamics and Control 34 (2010) 8, pp. 1343-1358
Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the...