Permanent Structural Change in the US Short-Term and Long-Term Interest Rates
This paper uses a time-varying error correction model to examine the structural changes in the rate of adjustment to the long-run equilibrium and the cointegrating vector of the US short- and long-term interest rates. We show that agents’ expectations of interest rate movements vary according to policy changes as reflected by changes in the direction of movements of the underlying parameters.
|Date of creation:||Aug 2007|
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