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来源类型Working Paper
规范类型报告
DOI10.3386/w1678
来源IDWorking 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
URLhttps://www.nber.org/papers/w1678
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/558921
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GB/T 7714
John Huizinga,Frederic S. Mishkin. Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates. 1985.
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