Macroeconomics Commons^™

Essays On New Keynesian Term Premium Model With Financial Risks, Weiguo Fu

Dissertations, Theses, and Capstone Projects

This dissertation studies the modeling of U.S. Treasury (UST) yield curve term premia under the New Keynesian (NK) framework. Loosely speaking, term premium is the difference between a government bond’s yield for a specific tenor and the average of the expected short rates up to that tenor. The dissertation is divided into three chapters. The first chapter proposes a New Keynesianism-based macro-finance model estimated by a one-step full information maximum likelihood (FIML) method. The second chapter shows that the one-step FIML method may produce estimation biases, which result in biased expected short rates and term premia. The chapter then presents …