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Borrowed reserves, fed funds rate targets, and the term structure

Nilsen, Jeffrey H. - 1997

Persistent link: https://www.econbiz.de/10013274889

Borrowed Reserves, Fed Funds Rate Targets, and the Term Structure

Nilsen, Jeffrey H. - 2005

structure, I find that the average monthly interest rates implied by the expectations theory is consistent with the pattern of …

Persistent link: https://www.econbiz.de/10014063553

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and fi nancial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011694843

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011740263

Monetary policy surprises and the expectations hyothesis at the short of the yield curve

Demarialp, Selva (contributor) - 2008

We test the expectations hypothesis by analyzing changes in three month T-Bill rates (TB3) after FOMC meetings. By estimating the revisions in expectations of future overnight rates, we find a one-to-one relationship between changes in TB3 and path revisions. -- Expectations Hypothesis ; Policy...

Persistent link: https://www.econbiz.de/10003735169

Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations

Ahrens, Ralf - 1999

Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....

Persistent link: https://www.econbiz.de/10009768272

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …

Persistent link: https://www.econbiz.de/10012316011

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2019 - This draft: December 9, 2019

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....

Persistent link: https://www.econbiz.de/10012133185

The Expectations Theory Works for Monetary Policy Shocks

Roush, Jennifer E. - 2007

In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite … its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory … and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails …

Persistent link: https://www.econbiz.de/10012778440