A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2007 - Business & Economics - 19 pages
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13 15 Maturity 5-percent level Adam Copeland affine function affine term-structure model ahead Ending Andrew Cohen April Athanasios Orphanides August Basis paiiiia basis-point surprise bond Brian Sack Byron F Consumer conﬁdence Countercyclical CPI core daily changes Daniel December Diana Hancock Dividend Tax Economics Discussion Series Employment cost index expected future short Expected Short Rate factor model February Federal Reserve Board Finance and Economics ﬁtted future short rates Gurkaynak Hannan horizons Interest Rates January Jonathan H Kevin Moore latent factors long-horizon Macroeconomic data releases macroeconomic surprises Market Meredith Beechey Monetary Policy Surprises NAPM Newey-West standard errors nominal forward rates nominal short rates Norman Morin November October one-year forward rate Premia to Macroeconomic premium rates and term regressions Ron Borzekowski Sensitivity Puzzle September 2005 Short Rate Basia Sichel Speciﬁcally Steven Svensson term premia Term remium Basis Term Structure three-factor model Timothy H U.S. Treasury vector Wayne Passmore Shane Wright Yield Curve