The Term Structure of Interest Rates and the Effects of Macroeconomic Policy
AbstractThis paper analyzes the effects of monetary and fiscal policy shocks on the term structure of interest rates. The effects of temporary versus permanent, unanticipated versus anticipated, policy disturbances and the responses of long versus short, and real versus nominal, rates are contrasted. The main results are summarized in a series of propositions. Among them, the finding that an unanticipated permanent fiscal expansion impacts more on long-term rates, may help explain their observed excessive volatility. The effects of structural changes on the relative variances are also discussed, with the effect which operates through the impact on private speculative behavior being emphasized.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2902.
Date of creation: Mar 1989
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Publication status: published as Journal of Money, Credit, and Banking, Vol. 21, No. 3, pp. 321-347,(August 1989).
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- Turnovsky, Stephen J, 1989. "The Term Structure of Interest Rates and the Effects of Macroeconomic Policy," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 21(3), pages 321-47, August.
- Turnovsky, S.J., 1989. "The Term Structure Of Interest Rates And The Effets Of Macroeconomics Policy," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington 89-03, Department of Economics at the University of Washington.
- Turnovsky, S.J., 1989. "The Term Structure Of Interest Rates And The Effets Of Macroeconomics Policy," Working Papers, University of Washington, Department of Economics 89-03, University of Washington, Department of Economics.
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