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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

The US term structure and Central Bank policy


"The Expectations Hypothesis of the Term Structure (EHT) implies cointegration between interest rates of different maturities and predicts certain values for adjustment speed. We estimate reduced-form Vector Error Correction Models (VECMs) of the US term structure. These are derived from a structural model combining the EHT, auto-correlated risk premia, interest rate smoothing and monetary policy feedback, which is able to capture a wide range of empirical outcomes. We explicitly test the necessary preconditions for the validity of the theoretical model. Premia persistence rises with longer-rate maturity, whereas the influence of the according spreads in the central bank reaction function diminishes." (Author's abstract, IAB-Doku) ((en))

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Bibliografische Daten

Weber, Enzo; Wolters, Jürgen (2012): The US term structure and Central Bank policy. In: Applied Economics Letters, Vol. 19, No. 1, S. 41-45.