Weber, Enzo and Wolters, Juergen (2013) Risk and Policy Shocks on the US Term Structure. SCOTTISH JOURNAL OF POLITICAL ECONOMY, 60 (1). pp. 101-119. ISSN 0036-9292,
Full text not available from this repository.Abstract
We document two stylized facts of US short-term and long-term interest rate data seemingly incompatible with the expectations hypothesis: low contemporaneous cross-correlation and relatively slow adjustment to long-run relationships. We explain these features in a small structural model with three types of randomness: While a persistent monetary policy shock implies immediate identical reactions through the term structure, both a transitory policy shock and an autocorrelated risk premium allow for sustained deviations. Indeed, we find important impacts and persistence of risk premia and considerable contribution of transitory policy shocks to short rates. Results of standard expectations hypothesis tests can be rationalized.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | RATIONAL-EXPECTATIONS HYPOTHESIS; CENTRAL BANK POLICY; INTEREST-RATES; MONETARY-POLICY; VECTOR AUTOREGRESSION; AFFINE MODELS; PREMIA; IDENTIFICATION; SPREAD; VARIABLES; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 27 Apr 2020 08:16 |
| Last Modified: | 27 Apr 2020 08:16 |
| URI: | https://pred.uni-regensburg.de/id/eprint/17255 |
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