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We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on inflation and output can vary over time. We find that monetary policy loadings on...
Persistent link: https://www.econbiz.de/10012714224
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. We...
Persistent link: https://www.econbiz.de/10012714797
We offer evidence at both portfolio level and firm level that variations in idiosyncratic volatility are related to both behavioral and fundamental factors. Using Japanese data from 1975 to 2003, we show that both institutional herding and firm earnings are positively related to idiosyncratic...
Persistent link: https://www.econbiz.de/10012736906
Persistent link: https://www.econbiz.de/10009472238
We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output...
Persistent link: https://www.econbiz.de/10005034339
We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The...
Persistent link: https://www.econbiz.de/10005049904
Persistent link: https://www.econbiz.de/10005351868
We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the <xref ref-type="bibr" rid="bib47">Taylor's (1993</xref>, "Discretion Versus Policy Rules in Practice", Carnegie-Rochester Conference Series on Public Policy, 39, 195--214)...
Persistent link: https://www.econbiz.de/10009148341
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