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

Matthias Paustian, Charles T. Carlstrom & Timothy S. Fuerst
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...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.