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 |
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