Weber, Enzo and Wolters, Juergen (2012) The US term structure and central bank policy. APPLIED ECONOMICS LETTERS, 19 (1). pp. 41-45. ISSN 1350-4851,
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The Expectations Hypothesis of the Term Structure (EHT) implies cointegration between interest rates of different maturities and predicts certain values for adjustment speed. We estimate reduced-form Vector Error Correction Models (VECMs) of the US term structure. These are derived from a structural model combining the EHT, autocorrelated risk premia, interest rate smoothing and monetary policy feedback, which is able to capture a wide range of empirical outcomes. We explicitly test the necessary preconditions for the validity of the theoretical model. Premia persistence rises with longer-rate maturity, whereas the influence of the according spreads in the central bank reaction function diminishes.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EXPECTATIONS HYPOTHESIS; INTEREST-RATES; LONG; COINTEGRATION; TESTS; RISK; expectations hypothesis; risk premium; reaction function |
| 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: | 25 May 2020 11:12 |
| Last Modified: | 25 May 2020 11:12 |
| URI: | https://pred.uni-regensburg.de/id/eprint/19530 |
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