Monetary policy and the expectations hypothesis

We document that the expectations puzzle characterising US yield data is strikingly dependent on the monetary policy regime. We then estimate an affine term-structure model built on a parsimonious macroeconomic setup over the 1970-2001 sample. The model allows us to relate deviations from the expectations hypothesis to various features of the monetary policy rule and to the stochastic characteristics of yield premia

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Year of publication:	2004-08-11
Authors:	Vestin, D. ; Hordahl ; P.
Institutions:	Society for Computational Economics - SCE
Subject:	Expectations puzzle \| affine term-structure models \| policy rules \| new neo-classical synthesis

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Series:	Computing in Economics and Finance 2004.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2004 Number 70
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005345245