Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates

Carlo Favero () and Federico Mosca

No 2748, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In this Paper we estimate jointly a forward-looking reaction function for the three-month rate along with a term structure relationship linking the six-month interest rates to current and expected future three-month rates. In our empirical model the response of the six-month interest rates to current and future three-month interest rates is allowed to depend on uncertainty on monetary policy. The expectation theory cannot be rejected in periods of low uncertainty on monetary policy.

Keywords: Forward-looking reaction functions; Term structure of interest rates; Expectations model (search for similar items in EconPapers)
JEL-codes: E44 E52 F41 (search for similar items in EconPapers)
Date: 2001-03
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://cepr.org/publications/DP2748 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Uncertainty on monetary policy and the expectations model of the term structure of interest rates (2001)
Working Paper: Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:2748

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP2748

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().