Replication data for: Targeting Long Rates in a Model with Segmented Markets

Principal Investigator(s): View help for Principal Investigator(s) Charles T. Carlstrom; Timothy S. Fuerst; Matthias Paustian

Version: View help for Version V1

Name	File Type	Size	Last Modified
AEJM2016			10/12/2019 08:05:PM
LICENSE.txt	text/plain	14.6 KB	10/12/2019 04:05:PM

Project Citation:

Carlstrom, Charles T., Fuerst, Timothy S., and Paustian, Matthias. Replication data for: Targeting Long Rates in a Model with Segmented Markets. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114123V1

Project Description

Summary: This paper develops a model of segmented financial markets in which the net worth of financial institutions limits the degree of arbitrage across the term structure. The model is embedded into the canonical Dynamic New Keynesian (DNK) framework. We estimate the model using data on the term premium. Our principal results include the following. First, the estimated segmentation coefficient implies a nontrivial effect of central bank asset purchases on yields and real activity. Second, there are welfare gains to having the central bank respond to the term premium, e.g., including the term premium in the Taylor Rule. Third, a policy that directly targets the term premium sterilizes the real economy from shocks originating in the financial sector. A term-premium peg can have significant welfare effects.

Scope of Project

JEL Classification:
      E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
      E23 Macroeconomics: Production
      E31 Price Level; Inflation; Deflation
      E43 Interest Rates: Determination, Term Structure, and Effects
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E58 Central Banks and Their Policies

Related Publications

Download this project

Published Versions

V1 [2019-10-12]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as received from the data depositor. As of April 2026, depositors are required to submit study materials in accessible formats. ICPSR has not reviewed, checked, or processed this material. For additional information about the study, please contact the investigator(s) directly. If you have questions about the accessibility of materials distributed by ICPSR or require further assistance, please visit ICPSR's Accessibility Center.