Monetary policy and the expectations hypothesis
AbstractWe 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 InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 70.
Date of creation: 11 Aug 2004
Date of revision:
Expectations puzzle; affine term-structure models; policy rules; new neo-classical synthesis;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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- 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.
- 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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