A Shadow Rate Model of Intermediate-Term Policy Rate Expectations

This note introduces a shadow rate term structure model based on OIS rates and surveys to quantify federal funds rate expectations and term premiums over horizons ranging from one month to five years. The model implies that term premiums vary over time and can be substantial in magnitude, even at relatively short horizons

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Year of publication:	2020
Authors:	Priebsch, Marcel
Publisher:	[S.l.] : SSRN
Subject:	Erwartungsbildung \| Expectation formation \| Zinsstruktur \| Yield curve \| Zins \| Interest rate \| Theorie \| Theory \| Schätzung \| Estimation \| Eurozone \| Euro area
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Series:	FEDS Notes ; No. 2017-10-04-1
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 04, 2017 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014092017