Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory
Board of Governors of the Federal Reserve System, 2001 - Business & Economics - 51 pages
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Alog levels arbitrage basis points benchmark specification bond market Cholesky decomposition commodity prices conditional expectations theory consistent Contractionary Policy Shock covariance matrix Coverage Intervals econometrics effects of monetary effects of policy exogenous change exogenous policy expectations theory conditional Faust procedure federal funds rate Federal Reserve System Finance Discussion Papers forecast error variance funds rate future short rate identifying restrictions impulse response functions initial level interest rate combination International Finance Discussion Jonathan H Leeper literature long and short long rate responses long-term interest rates mean squared premium minimum RMPD money demand shock month rate non-policy obtain impulse responses parameter percents or Alog policy behavior policy equation policy identification policy responses policy specifications posterior distributions predicted premia reasonable impulse responses regression tests RMPD Recursive RMPD Relative simultaneity between policy squared premium deviation Table term premium total reserves unconditional failure uncovering evidence variance share zero coupon bond