✦ LIBER ✦

Central bank policy reaction and the expectations hypothesis of the term structure

✍ Scribed by Peter Kugler

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 125 KB
Volume: 2
Category: Article
ISSN: 1076-9307
DOI: 10.1002/(sici)1099-1158(199707)2:3<217::aid-ijfe48>3.0.co;2-a

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✦ Synopsis

This paper applies the monetary policy reaction model developed by McCallum to the term structure of interest rates. First, it contains the solution of a rational expectations model of the central bank policy reaction, with respect to the current long short-spread for the N period long rate case. Second, it applies this model rather successfully to recent weekly data for four countries.

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