Gateway to Think Tanks
来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w1678 |
来源ID | Working Paper 1678 |
Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates | |
John Huizinga; Frederic S. Mishkin | |
发表日期 | 1985-08-01 |
出版年 | 1985 |
语种 | 英语 |
摘要 | A striking phenomenon of the early 1980s is the climb in real interest rates to levels unprecedented in the post-World War II period. In order to understand this phenomenon, this paper investigates the nature and timing of shifts in the real rate process to determine if the recent unusual behavior of real rates is associated with monetary policy regime changes. We find that not only are there significant shifts in the stochastic process of real interest rates in October 1979 and October 1982 when the Federal Reserve alters its behavior, but these dates are also found to be the most likely breakpoints in the real rate process. When we analyze another monetary policy regime change with many similarities to that of October 1979, the sharp rises in the discount rate in 1920, we also reach a similar conclusion; there is a striking correspondence between the monetary policy regime change and the shift in the real rate process. Other studies have examined competing explanations for the recent unusual behavior of real interest rates -- e.g.budget deficits or favorable changes in business taxation. Although these competing explanations have met with mixed success, our evidence lends substantial support to the view that monetary policy regime changes have been and continue to be an important source of shifts in the behavior of real interest rates. |
主题 | Macroeconomics |
URL | https://www.nber.org/papers/w1678 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558921 |
推荐引用方式 GB/T 7714 | John Huizinga,Frederic S. Mishkin. Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates. 1985. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w1678.pdf(844KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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。