Monetary policy and the yield curve

Antulio Bomfim

No 2003-15, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve.

Keywords: Interest rates; Swaps (Finance) (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-fin and nep-mon
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2003-15

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