| PDF (178kB) |
- URN to cite this document:
- urn:nbn:de:bvb:355-epub-135796
- DOI to cite this document:
- 10.5283/epub.13579
Alternative links to fulltext:Repec
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 ...
Owner only: item control page
Download Statistics