Discussion of “Equilibrium Yields” by Monika Piazzesi and Martin Schneider
Benigno, Pierpaolo (2007) Discussion of “Equilibrium Yields” by Monika Piazzesi and Martin Schneider. In: NBER macroeconomics annual 2006. MIT Press, Cambridge (MA) ; London, p. 443-457. ISBN 978-0-262-51200-8.
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Abstract/Index
Section 1 of this discussion reviews the analysis of Piazzesi and Schneider (2006) (hereinafter PS). Section 2 analyzes alternative preference specifications. Section 3 derives term-structure implications using standard preferences but with a fractional integrated process for the inflation rate. Section 4 concludes pointing out some statistical evidence on term-structure data that needs to be further analyzed.
| Item Type: | Monograph Section |
|---|---|
| Research documents and activity classification: | Book Sections > Monograph's chapters |
| Divisions: | Department of Business and Management |
| Additional Information: | Versione del documento: luglio 2006 (titolo definitivo del documento commentato: Equilibrium Yield Curves by Monika Piazzesi and Martin Schneider). |
| Uncontrolled Keywords: | Macroeconomia. Finanza Internazionale. Modelli matematici. |
| MIUR Scientific Area: | Area 13 - Economics and Statistics > SECS-P/01 Political Economy |
| Deposited By: | Caterina Marini |
| Deposited On: | 17 Jun 2009 18:26 |
| Last Modified: | 28 May 2013 20:10 |
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