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Risk and Policy Shocks on the US Term Structure

Weber, Enzo and Wolters, Jürgen (2010) Risk and Policy Shocks on the US Term Structure. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 438, Working Paper.

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Date of publication of this fulltext: 17 Mar 2010 13:17

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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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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:16 March 2010
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:13579RePEc Handle
Classification:
NotationType
E43Journal of Economics Literature Classification
C32Journal of Economics Literature Classification
Keywords:Expectations Hypothesis, Risk Premium, Policy Reaction Function, Persistence, Transitory Shocks
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:13579
Owner only: item control page

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