The Excess Sensitivity of Long-run Term Interest Rates: Evidence and Implications for Macroeconomic ModelsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Interest rates - 43 pages |
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Page 15
... steady state , the short - term nominal interest rate i equals the steady - state real interest rate r * plus the steady - state level of inflation л * , by Fisher's equation : i * = r * + π * ( 4.1 ) As mentioned above , standard asset ...
... steady state , the short - term nominal interest rate i equals the steady - state real interest rate r * plus the steady - state level of inflation л * , by Fisher's equation : i * = r * + π * ( 4.1 ) As mentioned above , standard asset ...
Page 16
... steady - state levels . The problem with this explanation is that realistic calibrations of macroeconomic models to the data usually imply that interest rates return to steady state much more quickly than the horizon required to support ...
... steady - state levels . The problem with this explanation is that realistic calibrations of macroeconomic models to the data usually imply that interest rates return to steady state much more quickly than the horizon required to support ...
Page 19
... steady - state inflation rate . 21 We can demonstrate this by augmenting the baseline models from section 2 to ... steady - state level of capital , for example by creating tax distortions . Our point , however , is that changes in л ...
... steady - state inflation rate . 21 We can demonstrate this by augmenting the baseline models from section 2 to ... steady - state level of capital , for example by creating tax distortions . Our point , however , is that changes in л ...
Common terms and phrases
15 Years ahead 30 40 Interest 40 Interest Rate Athanasios Orphanides Bank of England bank's inflation target bank's long-run target behavior Brian Sack central bank's inflation central bank's long-run CGG model changes Coef Economics Discussion Series Employment Cost Index excess sensitivity federal funds rate Finance and Economics forward interest rates forward rates ending futures contract Huber-White standard errors impulse response functions inflation compensation Inflation Shock inflation-indexed Interest Rate Response July Kuttner long-run inflation target long-term forward rates long-term interest rates macroeconomic and monetary macroeconomic data releases macroeconomic models macroeconomic surprises monetary policy shocks monetary policy surprises nominal forward rates nominal interest rate one-year forward rate output gap parameters persistence premia rate shock real forward rate real interest rates regression Response of forward risk premium Rudebusch model sample sensitivity of long-term short-term interest rate short-term nominal interest significant Treasury yield curve zero-coupon