The Term Structure of Interest Rates and the Effects of Macroeconomic Policy

Stephen J Turnovsky

Journal of Money, Credit and Banking, 1989, vol. 21, issue 3, 321-47

Abstract: This paper analyzes the effects of monetary and fiscal policy shocks on the term structure of interest rates. Temporary versus permanent, unanticipated versus anticipated policy disturbances and the responses of long versus short, and real versus nominal rates are contrasted. The main results are summarized in a series of propositions. Among them, the finding that an unanticipated permanent fiscal expansion impacts more on long-term rates may help explain their observed excessive volatility. The effects of structural changes on the relative variances are also discussed, with the effect that operates through the impact on private speculative behavior being emphasized. Copyright 1989 by Ohio State University Press.

Date: 1989
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Related works:
Working Paper: THE TERM STRUCTURE OF INTEREST RATES AND THE EFFETS OF MACROECONOMICS POLICY (1989)
Working Paper: The Term Structure of Interest Rates and the Effects of Macroeconomic Policy (1989)
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:21:y:1989:i:3:p:321-47

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