| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3212 |
| DP3212 Markups, Gaps and the Welfare Costs of Business Fluctuations | |
| Mark Gertler; Jordi Gali; Jose David Lopez-Salido | |
| 发表日期 | 2002-02-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This article examines the dynamic relationship between two key US money market interest rates ? the federal funds rate and the 3-month Treasury bill rate. Using daily data over the period from 1974-99, we find a long-run relationship between these two rates that is remarkably stable across monetary policy regimes of interest rate and monetary aggregate targeting. Employing a non-linear asymmetric vector equilibrium correction model, which is novel in this context, we find that most of the adjustment toward the long run equilibrium occurs through the federal funds rate. In turn, there is strong evidence for the existence of significant asymmetries and non-linearities in interest rate dynamics that have implications for the conventional view of interest rate behaviour. |
| 主题 | International Macroeconomics |
| 关键词 | Interest rates Term structure Equilibrium correction Non-linear dynamics |
| URL | https://cepr.org/publications/dp3212 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532238 |
| 推荐引用方式 GB/T 7714 | Mark Gertler,Jordi Gali,Jose David Lopez-Salido. DP3212 Markups, Gaps and the Welfare Costs of Business Fluctuations. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
