Permanent Structural Change in the US Short-Term and Long-Term Interest Rates
AbstractThis 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.
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Bibliographic InfoPaper provided by Melbourne Institute of Applied Economic and Social Research, The University of Melbourne in its series Melbourne Institute Working Paper Series with number wp2007n22.
Length: 13 pages
Date of creation: Aug 2007
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-05 (All new papers)
- NEP-CBA-2008-01-05 (Central Banking)
- NEP-MAC-2008-01-05 (Macroeconomics)
- NEP-MON-2008-01-05 (Monetary Economics)
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