کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
967350 | 931202 | 2007 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The expectations theory works for monetary policy shocks
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails conditional on aggregate supply shocks that prompt an immediate jump in prices. It also finds that policy responses to movements in the term structure play an important role in uncovering evidence for the theory as predicted by McCallum [1994. Monetary policy and the term structure of interest rates. NBER Working Paper Series, no. 4938].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 54, Issue 6, September 2007, Pages 1631-1643
Journal: Journal of Monetary Economics - Volume 54, Issue 6, September 2007, Pages 1631-1643
نویسندگان
Jennifer E. Roush,