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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

The US term structure and Central Bank policy

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Abstract

"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 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, while the influence of the according spreads in the central bank reaction function diminishes." (Author's abstract, IAB-Doku) ((en))

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Bibliographical information

Weber, Enzo; Wolters, Jürgen (2009): The US term structure and Central Bank policy. (Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, 436; University of Regensburg working papers in business, economics and management information system, 436), Regensburg, 6 p.
 

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