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Permanent Structural Change in the US Short-Term and Long-Term Interest Rates

Author

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  • Chew Lian Chua

    (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)

  • Chin Nam Low

    (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)

Abstract

This paper uses a time-varying error correction model to examine the structural changes in the rate of adjustment to the long-run equilibrium and the cointegrating vector of the US short- and long-term interest rates. We show that agents’ expectations of interest rate movements vary according to policy changes as reflected by changes in the direction of movements of the underlying parameters.

Suggested Citation

  • Chew Lian Chua & Chin Nam Low, 2007. "Permanent Structural Change in the US Short-Term and Long-Term Interest Rates," Melbourne Institute Working Paper Series wp2007n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    • Handle: RePEc:iae:iaewps:wp2007n22
    as

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    File URL: http://melbourneinstitute.unimelb.edu.au/downloads/working_paper_series/wp2007n22.pdf
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    References listed on IDEAS

    as
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