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Monetary policy and the expectations hypothesis

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  • D. Vestin
  • Hordahl
  • P.

Abstract

We document that the expectations puzzle characterising US yield data is strikingly dependent on the monetary policy regime. We then estimate an affine term-structure model built on a parsimonious macroeconomic setup over the 1970-2001 sample. The model allows us to relate deviations from the expectations hypothesis to various features of the monetary policy rule and to the stochastic characteristics of yield premia

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 70.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:70

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Related research

Keywords: Expectations puzzle; affine term-structure models; policy rules; new neo-classical synthesis;

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Cited by:
  1. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing, vol. 3(1), pages 27-53, September.
  2. N. Leprovost & B. Dubrulle, 2005. "The turbulent dynamo as an instability in a noisy medium," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 44(3), pages 395-400, 04.

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