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Monetary policy and the expectations hypothesis

Author

Listed:
  • 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

Suggested Citation

  • D. Vestin & Hordahl & P., 2004. "Monetary policy and the expectations hypothesis," Computing in Economics and Finance 2004 70, Society for Computational Economics.
    • Handle: RePEc:sce:scecf4:70
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    Citations

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    Cited by:

    1. 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;EDP Sciences, vol. 44(3), pages 395-400, April.
    2. 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 Limited, vol. 3(1), pages 27-53, April.

    More about this item

    Keywords

    Expectations puzzle; affine term-structure models; policy rules; new neo-classical synthesis;
    All these keywords.

    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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