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Euler equations and money market interest rates: The role of monetary policy and risk premium shocks

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
E10E43E44E52Monetary policy
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
Authors
Johannes Gareis, Eric Mayer,
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Journal
Economics Letters
Journal: Economics Letters
Related Categories
E10
E43
E44
E52
Monetary policy
Economics and Econometrics
Economics, Econometrics and Finance (General)
Finance
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