The Term Structure Of Interest Rates And The Effets Of Macroeconomics Policy
This paper analyzes the effects of monetary and fiscal policy shocks on the term structure of interest rates. 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 that operates through the impact on private speculative behavior being emphasized. Copyright 1989 by Ohio State University Press.
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|Date of creation:||1989|
|Date of revision:|
|Contact details of provider:|| Postal: Box 353330, Seattle, WA 98193-3330|
Web page: http://www.econ.washington.edu/
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- N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
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- N. Gregory Mankiw & Jeffrey A. Miron, 1985.
"The Changing Behavior of the Term Structure of Interest Rates,"
NBER Working Papers
1669, National Bureau of Economic Research, Inc.
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- Blanchard, Olivier J, 1981. "Output, the Stock Market, and Interest Rates," American Economic Review, American Economic Association, vol. 71(1), pages 132-43, March.
- Singleton, Kenneth J, 1980. "Expectations Models of the Term Structure and Implied Variance Bounds," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1159-76, December.
- Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
- McCafferty, Stephen, 1986. "Aggregate Demand and Interest Rates: A Macroeconomic Approach to the Term Structure," Economic Inquiry, Western Economic Association International, vol. 24(4), pages 521-33, October.
- Mascaro, Angelo & Meltzer, Allan H., 1983. "Long- and short-term interest rates in a risky world," Journal of Monetary Economics, Elsevier, vol. 12(4), pages 485-518, November.
- Flavin, Marjorie A, 1983. "Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 91(6), pages 929-56, December.
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