| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP430
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| DP430 The Term Structure of Interest Rates, Structural Stability and Macroeconomic Policy Changes in the UK |
| John Driffill
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| 发表日期 | 1990-07-01
|
| 出版年 | 1990
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| 语种 | 英语
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| 摘要 | This paper examines data on interest rates in the United Kingdom information on changes in policy regime and their credibility in order to discover the period from 1959-87 using quarterly data. A stochastic regime switching model used by Hamilton, based on an AR(4) model for short rates, and the corresponding model for long rates, does not adequately represent the UK data. Yields on long-term UK government debt behave consistently with the expectations model of the term structure, on a number of basic tests. Their relationship with yields on treasury bills, however, is not consistent with the theory unless an autoregressive risk premium is introduced into the holding period yield on long bonds. The only evidence of a change in the time-series behaviour of long bond yields in these data occurs at the end of 1974. There is no evidence of a policy change in 1979 or 1980. The hypothesis that these interest rates contain unit roots cannot be rejected. Therefore, tests of the expectations model devised by Campbell and Shiller to take account of unit roots in the data were undertaken, but they revealed no evidence of departures from the expectations model. |
| 主题 | International Macroeconomics
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| 关键词 | Credibility
monetary policy
Structural stability
Term structure
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| URL | https://cepr.org/publications/dp430
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529588
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推荐引用方式
GB/T 7714 |
John Driffill. DP430 The Term Structure of Interest Rates, Structural Stability and Macroeconomic Policy Changes in the UK. 1990.
|
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