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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Risk and policy shocks on the US term structure

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Abstract

"We document two stylised facts of US short- and long-term interest rate data incompatible with the pure expectations hypothesis: Relatively slow adjustment to long-run relations and low contemporaneous correlation. We construct a small structural model which features three types of randomness: While a persistent monetary policy shock implies immediate identical reactions through the term structure, both a transitory policy shock and an auto-correlated risk premium allow for the sustained decoupling observed in the data. Indeed, we find important impacts and persistence of risk premia and a decomposition of policy shocks judging a larger part as transitory the longer the investment horizon." (Author's abstract, IAB-Doku) ((en))

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Bibliografische Daten

Weber, Enzo; Wolters, Jürgen (2010): Risk and policy shocks on the US term structure. (Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, 438; University of Regensburg working papers in business, economics and management information system, 438), Regensburg, 17 S.
 

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