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Treasury bill rates in the 1970s and 1980s

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  • Patric H. Hendershott
  • Joe Peek

Abstract

As is widely recognized, real interest rates in the early 1980s were at peaks not witnessed since the late 1920s. Less well perceived is the sharp decline in real interest rates in the middle 1980s to their average levels of the previous quarter century. This paper seeks to identify the underlying determinants of the major movements in real six-month Treasury bill rates. The primary innovation is the development of a new monetary policy proxy that explains much of the real rate movement in the 1980s.

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File URL: http://www.bostonfed.org/economic/wp/wp1991/wp91_6.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Boston in its series Working Papers with number 91-6.

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Date of creation: 1991
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Publication status: Published in Journal of Money, Credit and Banking 24, (May 1992): 195-214.
Handle: RePEc:fip:fedbwp:91-6

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Keywords: Treasury bills;

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References

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  1. Joe Peek and James A. Wilcox., 1982. "The Postwar Stability of the Fisher Effect," Research Program in Finance Working Papers 129, University of California at Berkeley.
  2. Barro, Robert J., 1974. "Are Government Bonds Net Wealth?," Scholarly Articles 3451399, Harvard University Department of Economics.
  3. Peek, Joe & A. Wilcox, James, 1986. "Tax rate effects on interest rates," Economics Letters, Elsevier, vol. 20(2), pages 183-186.
  4. Joe Peek & James A. Wilcox, 1984. "The Degree of Fiscal Illusion in Interest Rates: Some Direct Estimates," NBER Working Papers 1358, National Bureau of Economic Research, Inc.
  5. Slemrod, Joel, 1990. "Fear of Nuclear War and Intercountry Differences in the Rate of Saving," Economic Inquiry, Western Economic Association International, vol. 28(4), pages 647-57, October.
  6. Cook, Timothy Q & Hendershott, Patric H, 1978. "The Impact of Taxes, Risk and Relative Security Supplies on Interest Rate Differentials," Journal of Finance, American Finance Association, vol. 33(4), pages 1173-86, September.
  7. Robert E. Lipsey & Helen Stone Tice, 1989. "The Measurement of Saving, Investment, and Wealth," NBER Books, National Bureau of Economic Research, Inc, number lips89-1.
  8. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(3), pages 577-646.
  9. Patric H. Hendershott, 1984. "Debt and Equity Returns Revisited," NBER Working Papers 1521, National Bureau of Economic Research, Inc.
  10. Friedman, Benjamin M, 1988. "Lessons on Monetary Policy from the 1980s," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 51-72, Summer.
  11. Thomas D. Simpson, 1984. "Changes in the Financial System: Implication for Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(1), pages 249-272.
  12. Jeffrey D. Sachs, 1981. "The Current Account and macroeconomic Adjustment in the 1970s," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 12(1), pages 201-282.
  13. Evans, Paul, 1985. "Do Large Deficits Produce High Interest Rates?," American Economic Review, American Economic Association, vol. 75(1), pages 68-87, March.
  14. Startz, Richard, 1983. "Computation of linear hypothesis tests for two-stage least squares," Economics Letters, Elsevier, vol. 11(1-2), pages 129-131.
  15. Olivier J. Blanchard & Lawrence H. Summers, 1984. "Perspectives on High World Real Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 273-334.
  16. Makin, John H, 1983. "Real Interest, Money Surprises, Anticipated Inflation and Fiscal Deficits," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 374-84, August.
  17. Patric H. Hendershott & Joe Peek, 1989. "Aggregate U.S. Private Saving: Conceptual Measures," NBER Chapters, in: The Measurement of Saving, Investment, and Wealth, pages 185-226 National Bureau of Economic Research, Inc.
  18. Richard H. Clarida & Benjamin M. Friedman, 1983. "Why Have Short-Term Interest Rates Been So High?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(2), pages 553-586.
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Cited by:
  1. Ireland, Peter N., 2001. "Sticky-price models of the business cycle: Specification and stability," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 3-18, February.

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