The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U.S. and Germany
AbstractWe reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to unanticipated changes of the very short rate. In contrast to cointegration tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of interest rates. --
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Bibliographic InfoArticle provided by Springer in its journal Weltwirtschaftliches Archiv.
Volume (Year): 135 (1999)
Issue (Month): 3 (September)
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Other versions of this item:
- Nautz, Dieter & Wolters, Jürgen, 1998. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany," SFB 373 Discussion Papers 1998,78, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
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