Monetary policy and the expectations hypothesis

David Vestin, Hordahl and P.

No 70, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: We document that the expectations puzzle characterising US yield data is strikingly dependent on the monetary policy regime. We then estimate an affine term-structure model built on a parsimonious macroeconomic setup over the 1970-2001 sample. The model allows us to relate deviations from the expectations hypothesis to various features of the monetary policy rule and to the stochastic characteristics of yield premia

Keywords: Expectations puzzle; affine term-structure models; policy rules; new neo-classical synthesis (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:70

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