Gallmeyer, Michael F.; Hollifield, Burton; Palomino, … - 2007
properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is … endogenous and determined through an interest-rate/Taylor rule. When inflation is exogenous, it is difficult to match the shape … with exogenous inflation does not exhibit any negative autocorrelation - a necessary condition for an upward sloping yield …