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Risk and Policy Shocks on the US Term Structure

URN to cite this document:
urn:nbn:de:bvb:355-epub-135796
Weber, Enzo ; Wolters, Jürgen
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Date of publication of this fulltext: 17 Mar 2010 13:17


Abstract

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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