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1、CHAPTER13BondPricingandtheMacroeconomyGregoryR.Duffee*JohnsHopkinsUniversity,440MergenthalerHall,3400N.CharlesSt.,Baltimore,MD21218,USAContents1.Introduction9082.AFactorModel9092.1ABare-BonesFramework9092.2ImplicationsandAlternatives9112.3WhataretheFacto
2、rs?9122.4TaylorRuleStories9133.No-ArbitrageRestrictions9153.1StochasticDiscountFactors9153.2BondPricing9183.3ImplicationsofNo-ArbitrageRestrictions9194.TheVariationofYieldswiththeMacroeconomy:USEvidence9214.1MacroeconomicData9214.2Spanning9234.3AWorkhors
3、eEmpiricalExample9284.4InterpretingandAlteringCross-SectionalAccuracy9315.ModelingRiskPremia9335.1PracticalApproachestoModelingRiskPremia9335.2ABriefExample9345.3SomePropertiesofObservedBondReturns9375.4PowerUtility9405.5RecursiveUtility9425.6TheEmpirica
4、lPerformanceofPowerandRecursiveUtility9435.7PredictableVariationofExcessBondReturns9485.8ExtensionstoPowerUtilityandRecursiveUtility9525.9MovingAwayfromEndogenousRiskPremia955∗PreparedfortheHandbookoftheEconomicsofFinance,editedbyGeorgeConstantinides,Mil
5、tHarris,andReneStulz,tobepublishedbyElsevier.Someofthematerialinthischapteralsoappearsin“Forecastinginterestrates,”achapterpreparedfortheHandbookofEconomicForecasting,Vol.2.,editedbyAllanTimmermannandGrahamElliott,alsotobepublishedbyElsevier.ThankstoMich
6、aelBauer,JonFaust,MonikaPiazzesi,GlennRudebusch,JonathanWright,andmanyseminarparticipantsforhelpfulcom-mentsandconversations.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00013-5Allrightsreserved.907908Grego
7、ryR.Duffee6.NewKeynesianModels9566.1AReduced-FormNewKeynesianModel9566.2NestingtheModelinaGeneralFactorStructure9586.3AddingNominalBonds9606.4AnEmpiricalApplication9617.ConcludingComments965References9651.INTRODUCTIONTomanymacroeconomists,thediscussionof
8、fixedincomeinthehandbookchapterofDaiandSingleton(2003)appearstobewritteninsomesortofdolphinlanguage.WhoareFeynmanandKac,andwhatmagicisperformedwithaninfinitesimalgenerator?WhatisItô’sLemma,andwhyisitimportantindeterminingt
