Article ID Journal Published Year Pages File Type
5059621 Economics Letters 2013 5 Pages PDF
Abstract
We challenge the view that the negative correlation between the Federal Funds and the Euler equation interest rate is linked to monetary policy. Using Monte Carlo experiments, we show that the negative correlation can be explained by risk premium disturbances.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Euler equations and money market interest rates: The role of monetary policy and risk premium shocks
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