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The US Term Structure and Central Bank Policy

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

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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)
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
Identification Number:
RePEc:bay:rdwiwi:9655RePEc Handle
E43Journal of Economics Literature Classification
Keywords:Expectations Hypothesis, Risk Premium, Policy Reaction Function
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:9655
Owner only: item control page


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