というNBER論文が上がっている（ungated版）。原題は「Monetary Policy, Segmentation, and the Term Structure」で、著者はRohan Kekre（シカゴ大）、Moritz Lenel（プリンストン大）、Federico Mainardi（シカゴ大）。
以下はその要旨。
We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. When arbitrageurs’ portfolio features positive duration, an unexpected rise in the short rate lowers their wealth and raises term premia. A calibration to the U.S. economy accounts for the transmission of monetary shocks to long rates. We discuss the additional implications of our framework for state-dependence in policy transmission, the volatility and slope of the yield curve, and trends in term premia accompanying trends in the natural rate.
（拙訳）
我々は金融政策が金利の期間構造に与える影響を合理化する分断市場モデルを構築した。裁定取引者のポートフォリオが正のデュレーションを特徴とする時、短期金利の予期せぬ上昇は彼らの富を減らし、期間プレミアムを引き上げる。米経済へのカリブレーションにより、金融ショックの長期金利への伝達が説明される。我々は、政策伝達における状態依存、変動性と利回り曲線の傾き、および自然利子率のトレンドに付随する期間プレミアムのトレンド、において我々の我々の枠組みが持つ意味を論じる*1。
モデルでは、「好みの生息地（preferred habitat）*2」モデルを踏まえつつ、裁定取引者の選好が従来モデルのCARA*3ではなくCRRAであるようにし、かつ、瞬間的な生ではなく永遠に若いこと（perpetual youth）を仮定したとの由*4。そのため、裁定取引者の富は、仲介者資産価格付け（intermediary asset pricing）の研究*5におけるのと同様、リスクの価格付けに関連する内生的な状態変数になったという。
*1:本文ではそれぞれの項目について
「Just as the model implies that the effects of monetary policy along the term structure depend on the level of arbitrageur wealth and thus duration, it implies that the effects of other shocks similarly depend on arbitrageur wealth. Here we focus on our QE experiment used to calibrate the model. As previously noted, we simulate the March 18, 2009 announcement in the model assuming that arbitrageur wealth is initially one third less than its average value, corresponding to the decline in broker/dealer and hedge fund wealth between the fourth quarter of 2007 and first quarter of 2009. ...The model implies that the 10- and 20-year real yields and forward rates would have fallen by 20-30% less had broker/dealers and hedge funds not been so poorly capitalized at the time of the announcement.」
「Table 7 demonstrates how yield volatilities and the slope of the yield curve change when ξ →∞ and thus arbitrageurs’ initial wealth is constant. As is evident from the first row, yield volatility falls when arbitrageurs’ initial wealth is constant, although the effect is very small. The second row demonstrates that there is a more pronounced effect on stochastic volatility: while the model with endogenous wealth features stochastic volatility because short rate and demand shocks have state-dependent effects on yields as arbitrageur wealth varies, the model with exogenous wealth features constant volatilities. Since bond price volatility in the baseline model is high precisely in times with low wealth and thus high marginal utility for arbitrageurs, the final row demonstrates that it accounts for nearly one third of the unconditional slope of the yield curve. Taken together, we conclude that the endogeneity of arbitrageurs’ wealth plays an important role in shaping the unconditional properties of the term structure.」
「the decline in the natural rate in recent years has led to a sustained increase in long bond prices, recapitalizing arbitrageurs with positive duration and lowering their price of bearing risk.」
と説明している。
*2:cf. 需給と金利の期間構造 - himaginary’s diary。
*3:cf. リスク回避 - Wikipedia。
*4:本文では「Arbitrageurs trade at all maturities as well as at the short rate rt with the central bank. Arbitrageurs are born and die at rate ξ, discount the future at rate ρ, and have separable CRRA preferences over consumption upon death with risk aversion γ. Here we depart from typical preferred habitat models which assume arbitrageurs are alive instantaneously and have CARA preferences over consumption upon death.」と記述されている。
*5:e.g. セグメント化された裁定 - himaginary’s diaryで紹介した論文。
