Weber, Enzo and Wolters, Jürgen (2009) The US Term Structure and Central Bank Policy. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 436, Working Paper.
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Abstract
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 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, ...
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| Item type: | Monograph (Working Paper) | ||||
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| Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||
| Date: | 1 October 2009 | ||||
| Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||
| Interdisciplinary Subject Network: | Immobilien- und Kapitalmärkte | ||||
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| Keywords: | Expectations Hypothesis, Risk Premium, Policy Reaction Function | ||||
| 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: | 9655 |
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