We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro- and yield-data from the United States. Regime shifts in the conditional variance of productivity shocks, or “uncertainty shocks,” are a crucial driver of bond risk premia. We highlight three main results. First, our term premia on 10-year bonds are highly correlated with estimates from the affine literature, even if less markedly volatile. Second, uncertainty shocks also induce an increase in equity premia and exert downward pressure on consumption and inflation. An increase in equity premia will therefore be accompanied by a cut in policy interest rates, even if the policy rule does not directly react to equity prices. This model mechanism is consistent with the empirical evidence on the “Fed put.” Third, model-implied long-term inflation expectations are less dogmatically anchored than survey-based measures over the 2000s.

中文翻译：

---

货币政策和长期利率

我们在基于美国宏观数据和收益率数据估计的结构性一般均衡模型中研究货币政策与长期利率之间的关系。生产率冲击或“不确定性冲击”的条件方差的制度转变是债券风险溢价的关键驱动因素。我们强调三个主要结果。首先，我们对 10 年期债券的期限溢价与仿射文献的估计高度相关，即使波动不那么明显。其次，不确定性冲击也会导致股票溢价上升，对消费和通胀产生下行压力。因此，股票溢价的增加将伴随着政策利率的降低，即使政策规则不直接对股票价格作出反应。该模型机制与“美联储看跌期权”的实证证据一致。第三，