Central Bank Policy Reaction and the Expectations Hypothesis of the Term Structure
This paper applies the monetary policy reaction model developed by McCallum to the term structure of interest rates. First, it contains the solution of a rational expectations model of the central bank policy reaction, with respect to the current long short-spread for the N period long rate case. Second, it applies this model rather successfully to recent weekly data for four countries. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
Volume (Year): 2 (1997)
Issue (Month): 3 (July)
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