Monetary Policy and the Yield CurveDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Interest rates - 36 pages |
Common terms and phrases
affine model Ana Aizcorbe arbitrage opportunities assumed Athanasios Orphanides Banking Industry basis points Berger Bomfim bond prices bond yields Brian Sack central tendency changes Chicago Mercantile Exchange common factors conditional expectation curvature December derived economic interpretation Economics Discussion Series Effects estimated second factor estimated time series eurodollar futures rates expectations hypothesis expected stance February Federal Reserve Board Figure Finance and Economics framework futures contracts hedged portfolio implied Kalman filter latent factors LIBOR longer-term Macroeconomic market participants market prices market-based maturity mean reversion model-implied Monetary Policy Expectations Monetary Policy Rules movements November observed paper parameters Piazzesi points per month prices of risk rate F(t Regressions based risk premium associated September 2002 shocks to r(t short rate short-rate model short-term interest rates six-month stance of monetary structure of interest T-maturity bond T₁ T₂ Thomas Laubach three-month time-t price two-factor model variables variance-covariance matrix vector Yield Curve Antulio zero-coupon bond zero-coupon yields