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The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia

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  • Michael Dotsey
  • Christopher Otrok

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File URL: http://www.richmondfed.org/publications/research/economic_quarterly/1995/winter/pdf/dotsey.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of Richmond in its journal Economic Quarterly.

Volume (Year): (1995)
Issue (Month): Win ()
Pages: 65-81

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Handle: RePEc:fip:fedreq:y:1995:i:win:p:65-81

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Related research

Keywords: Rational expectations (Economic theory) ; Interest rates ; Monetary policy;

References

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  1. Mankiw, N Gregory & Miron, Jeffrey A, 1986. "The Changing Behavior of the Term Structure of Interest Rates," The Quarterly Journal of Economics, MIT Press, vol. 101(2), pages 211-28, May.
  2. Mishkin, Frederic S, 1988. "The Information in the Term Structure: Some Further Results," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 307-14, October-D.
  3. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
  4. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
  5. Bennett T. McCallum, 1994. "Monetary Policy and the Term Structure of Interest Rates," NBER Working Papers 4938, National Bureau of Economic Research, Inc.
  6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  7. Marvin Goodfriend, 1990. "Interest rates and the conduct of monetary policy," Working Paper 90-06, Federal Reserve Bank of Richmond.
  8. William Roberds & David Runkle & Charles H. Whiteman, 1992. "Another hole in the ozone layer: changes in FOMC operating procedure and the term structure," Working Paper 92-15, Federal Reserve Bank of Atlanta.
  9. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
  10. Choi, Seungmook & Wohar, Mark E, 1991. "New Evidence Concerning the Expectations Theory for the Short End of the Maturity Spectrum," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 14(1), pages 83-92, Spring.
  11. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
  12. Pamela Labadie, 1991. "The term structure of interest rates over the business cycle," Finance and Economics Discussion Series 159, Board of Governors of the Federal Reserve System (U.S.).
  13. Marvin Goodfriend & David H. Small (), 1993. "Operating procedures and the conduct of monetary policy: conference proceedings," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
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