The term structure of interest rates has been influenced by macroeconomic shocks. Macroeconomic shocks also have affected the yield curve through the term structure of interest rates. By estimating and testing the structural VAR model, we find that the monetary shock, supply shock and price shock have significant and persistent effects on the short term interest rates, but have no significant effects on long term interest rates. At the same time, macroeconomic shocks have a more persistent effect on the level of the yield curve, but have little effect on the slope and curvature of the yield curve.

Download