The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach

The link between short-term policy rates and long-term rates elucidate the potential effectiveness of monetary policy. We examine the US term structure of interest rates using a pairwise econometric approach advocated by Pesaran (2007). Our empirical modelling strategy employs a probabilistic test s...

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Autores:
Tipo de recurso:
Fecha de publicación:
2015
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/22662
Acceso en línea:
https://doi.org/10.1016/j.najef.2015.09.014
https://repository.urosario.edu.co/handle/10336/22662
Palabra clave:
Interest rates
Maturity
Monetary policy
Pair-wise cointegration
Speed of adjustment
Term structure
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