| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4347 |
| 来源ID | Working Paper 4347 |
| A Model of Target Changes and the Term Structure of Interest Rates | |
| Pierluigi Balduzzi; Giuseppe Bertola; Silverio Foresi | |
| 发表日期 | 1993-04-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | We explore the effects of official targeting policy on the term-structure of nominal interest rates, adapting relevant insights from theoretical work on "peso problems" to account for realistic infrequency of target changes. Our analysis of daily U.S. interest rates and newly available historical targets provides an interpretation for persistent spreads between short-term money-market rates and overnight fed-funds targets, and for the poor performance of expectations-hypothesis tests: it is the policy-induced component of fed funds dynamics that appears to be erroneously anticipated by the market. Still, allowance for serial correlation in target changes makes it possible to extract from interest-rate data an expected-knoll series which is quite consistent with the assumptions of the model, indicating that some features of the interest-rate-targeting process are incorporated by market expectations. |
| 主题 | Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w4347 |
| 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/561710 |
| 推荐引用方式 GB/T 7714 | Pierluigi Balduzzi,Giuseppe Bertola,Silverio Foresi. A Model of Target Changes and the Term Structure of Interest Rates. 1993. |
| 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 | ||
| w4347.pdf（396KB） | 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。
