Arbeitspapier

The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to unanticipated changes of the very short rate. In contrast to cointegration tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of interest rates.

Sprache
Englisch

Erschienen in
Series: SFB 373 Discussion Paper ; No. 1998,78

Klassifikation
Wirtschaft

Ereignis
Geistige Schöpfung
(wer)
Nautz, Dieter
Wolters, Jürgen
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(wo)
Berlin
(wann)
1998

Handle
URN
urn:nbn:de:kobv:11-10060557
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Nautz, Dieter
  • Wolters, Jürgen
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Entstanden

  • 1998

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