The excess sensitivity of long-run term interest rates: evidence and implications for macroeconomic models
Refet S. Gurkaynak, Brian Sack, Eric Swanson, Board of Governors of the Federal Reserve System (U.S.)
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Business & Economics - 43 pages
6 pages matching output gap in this book
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ahead Years ahead Athanasios Orphanides Bank of England bank’s inﬂation target behavior Brian Sack central bank’s inﬂation CGG model changes Coef Economics Discussion Series Employment Cost Index excess sensitivity federal funds rate ﬁgure Finance and Economics ﬁnd ﬁrst ﬁve FOMC forward interest rates forward rates ending futures contract Huber-White standard errors impulse response impulse response functions inﬂation compensation inﬂation expectations inﬂation-indexed Interest Rate Response July Kuttner level of inﬂation long-run inﬂation long-term forward rates long-term interest rates macroeconomic and monetary macroeconomic data releases macroeconomic models macroeconomic surprises Market monetary policy shocks monetary policy surprises nominal forward rates nominal interest rate one-year forward rate output gap parameters persistence premia rates and inﬂation real forward rate real interest rates reﬂect regression retum risk premium Rudebusch model sample sensitivity of long-term short-term interest rate short-term nominal interest signiﬁcantly speciﬁcation steady-state time-varying Treasury yield curve zero-coupon