The US Term Structure and Central Bank Policy

URN to cite this document:: urn:nbn:de:bvb:355-epub-96557
DOI to cite this document:: 10.5283/epub.9655

Weber, Enzo ; Wolters, Jürgen

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Date of publication of this fulltext: 02 Oct 2009 08:00

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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, ...