Title of article
The termstructureofpolicyrules
Author/Authors
Josephine M. Smith، نويسنده , , JohnB.Taylor ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
11
From page
907
To page
917
Abstract
A formulaisderivedthatlinksthecoefficientsofthemonetarypolicyrulefortheshort-
term interestratetothecoefficientsoftheimpliedaffineequationsforlong-term
interestrates.Theformulapredictsthatanincreaseinthecoefficientsinthemonetary
policy rulewillleadtoanincreaseinthecoefficientsintheaffineequations.Empirical
evidenceforsuchapredictionisprovided.Thecurveoftheresponsecoefficientsby
maturityisalsopredictedbytheformula.Theformula’spredictiveaccuracyandits
closed formmakeitausefultoolforstudyingthepolicyimplicationsofembeddingno-
arbitrageaffinetheoriesintomacromodels
Keywords
Affine modelsNo arbitrageMonetary policyrulesTermstructureofinterestrates
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846341
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