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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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
Date Deposited: 17 Jun 2009 16:26
Last Modified: 21 Apr 2015 23:10
URI: http://eprints.luiss.it/id/eprint/83


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