The Term Structure Of Interest Rates And The Effets Of Macroeconomics 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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by University of Washington, Department of Economics in its series Working Papers with number 89-03.
Length: 20 pages
Date of creation: 1989
Date of revision:
interest rate ; economic equilibrium ; investments;
Other versions of this item:
- Turnovsky, Stephen J, 1989. "The Term Structure of Interest Rates and the Effects of Macroeconomic Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(3), pages 321-47, August.
- Stephen J. Turnovsky, 1989. "The Term Structure of Interest Rates and the Effects of Macroeconomic Policy," NBER Working Papers 2902, National Bureau of Economic Research, Inc.
- 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 89-03, Department of Economics at the University of Washington.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Walter Fisher, 2000. "The Term Structure of Interest Rates in a Small Open Economy: A Stochastic Analysis," Open Economies Review, Springer, vol. 11(3), pages 261-278, July.
- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004.
"Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread,"
Working Papers. Serie AD
2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
- Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, vol. 6(1), pages 49-62, January.
- Jesper Lindé, 2001. "Fiscal policy and interest rates in a small open economy," Finnish Economic Papers, Finnish Economic Association, vol. 14(2), pages 65-83, Autumn.
- van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 0011, European Central Bank.
- Arman Mansoorian & Mohammed Mohsin, 2002.
"Monetary Policy in a Cash-in-Advance Economy Employment, Capital Accumulation and the Term Structure of Interest Rates,"
2002_02, York University, Department of Economics.
- Arman Mansoorian & Mohammed Mohsin, 2004. "Monetary policy in a cash-in-advance economy: employment, capital accumulation, and the term structure of interest rates," Canadian Journal of Economics, Canadian Economics Association, vol. 37(2), pages 336-352, May.
- Stephen K. McNees & Geoffrey M. B. Tootell, 1991. ""Whither New England"?," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 11-26.
- Maria Carme Riera i Prunera, 2003. "Deficit, human capital and economic growth dynamics," Working Papers in Economics 102, Universitat de Barcelona. Espai de Recerca en Economia.
- Cebula, Richard, 1990. "A Note on Federal Budget Deficits and the Term Structure of Real Interest Rates in the United States," MPRA Paper 50238, University Library of Munich, Germany.
- Bruno Ducoudré, 2005. "Fiscal policy and interest rates," Documents de Travail de l'OFCE 2005-08, Observatoire Francais des Conjonctures Economiques (OFCE).
- Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, EconWPA.
- Duarte, A. & Venetis, I. & Payá, I., 2004. "Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 21, Abril.
- Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
- Chadha, Jagjit S. & Holly, Sean, 2010.
"Macroeconomic models and the yield curve: An assessment of the fit,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 34(8), pages 1343-1358, August.
- Chadha, J.S. & Holly, S., 2006. "Macroeconomic Models and the Yield Curve: An assessment of the Fit," Cambridge Working Papers in Economics 0640, Faculty of Economics, University of Cambridge.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael Goldblatt).
If references are entirely missing, you can add them using this form.