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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-135796
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.13579
Alternative Links zum Volltext:Repec
Zusammenfassung
We document two stylised facts of US short- and long-term interest rate data incompatible with the pure expectations hypothesis: Relatively slow adjustment to long-run relations and low contemporaneous correlation. We construct a small structural model which features three types of randomness: While a persistent monetary policy shock implies immediate identical reactions through the term ...
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