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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Risk and policy shocks on the US term structure

Abstract

"We document two stylized facts of US short-term and long-term interest rate data seemingly incompatible with the expectations hypothesis: low contemporaneous cross-correlation and relatively slow adjustment to long-run relationships. We explain these features in a small structural model with 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 sustained deviations. Indeed, we find important impacts and persistence of risk premia and considerable contribution of transitory policy shocks to short rates. Results of standard expectations hypothesis tests can be rationalized." (Author's abstract, IAB-Doku) ((en))

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Bibliografische Daten

Weber, Enzo; Wolters, Jürgen (2013): Risk and policy shocks on the US term structure. In: Scottish Journal of Political Economy, Vol. 60, No. 1, S. 101-119.
 

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