| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1874 |
| 来源ID | Working Paper 1874 |
| The October 1979 Change in the Monetary Regime: Its Impact on the \"Forecastability\" of Interest Rates | |
| James E. Pesando; Andre Plourde | |
| 发表日期 | 1986-03-01 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | Subsequent to the October 1979 shift in monetary policy in the United States, interest rates in North America not only reached unprecedented levels,but also exhibited unprecedented volatility. This paper shows that the anticipated quarterly changes in long-term rates associated with the rational expectations model have remained small during this post-shift period. Recorded forecasts of long-term interest rates in Canada continue to prove inferior to the no-change prediction of the martingale model. The "perverse" relationship between the slope of the yield curve and the subsequent movementin long-term rates exists in the Canadian data, but is of only modest value in a forecasting context. The excess return on long-term bonds implicit in the recorded forecasts of the level of interest rates varies sharply, yet there is no evidence that forecasters have identified a predictable component of a time-varying term premium. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w1874 |
| 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/559121 |
| 推荐引用方式 GB/T 7714 | James E. Pesando,Andre Plourde. The October 1979 Change in the Monetary Regime: Its Impact on the \"Forecastability\" of Interest Rates. 1986. |
| 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 | ||
| w1874.pdf（300KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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