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Productivity and the term structure

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  • Joseph G. Haubrich

Abstract

The recent record-setting economic expansion and the accompanying record-setting bull market in stocks are often attributed to Federal Reserve interest rate policy and increased productivity. But if interest rates behave differently when productivity changes, interest rate policy may need to change as well. This article examines how productivity changes affect the entire term structure-from short-term interest rates like the federal funds rate, to long-term rates like mortgages, car loans, and corporate bonds.

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File URL: http://www.clevelandfed.org/Research/Review/2000/jgh36_4.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of Cleveland in its journal Economic Review.

Volume (Year): (2000)
Issue (Month): Q IV ()
Pages: 2-9

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Handle: RePEc:fip:fedcer:y:2000:i:qiv:p:2-9

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Keywords: Productivity ; Interest rates;

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  1. S. Grossman & R. Shiller, . "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
  2. Sun, Tong-sheng, 1992. "Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 581-611.
  3. Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, vol. 47(3), pages 727-32, May.
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