Permanent Structural Change in the US Short-Term and Long-Term Interest Rates

This paper uses a time-varying error correction model to examine the structural changes in the rate of adjustment to the long-run equilibrium and the cointegrating vector of the US short- and long-term interest rates. We show that agents’ expectations of interest rate movements vary according to policy changes as reflected by changes in the direction of movements of the underlying parameters.

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Year of publication:	2007-08
Authors:	Chua, Chew Lian ; Low, Chin Nam
Institutions:	Melbourne Institute of Applied Economic and Social Research (MIAESR), Faculty of Business and Economics

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Extent:	application/pdf
Series:	Melbourne Institute Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005248424