What do you expect? Imperfect policy credibility and tests of the expectations hypothesis

• 成果类型: Article
• 署名作者: Kozicki, S; Tinsley, PA
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Kansas City; George Washington University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.05.004
• 发表日期: 2005
• 页码: 421-447
• 关键词: changepoints; expectations hypothesis; shifting endpoint; learning

摘要

The expectations hypothesis of the term structure of interest rates describes a conventional view of the transmission mechanism of monetary policy where bond rates reflect current and expected movements in the policy-controlled rate. However, empirical rejections of the expectations hypothesis are commonplace and lead many to question this description of policy transmission. This paper argues that failure to account for imperfect policy credibility may explain empirical rejections. Empirical rejections may occur even when changing anticipations of future short rates are the primary source of variation in bond rates and the standard term structure transmission channel remains valid. (c) 2005 Elsevier B.V. All rights reserved.