Shifting endpoints in the term structure of interest rates

• 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; University of Cambridge
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00054-X
• 发表日期: 2001
• 页码: 613-652
• 关键词: expectations hypothesis; changepoints; breakpoints; learning

摘要

This paper links the term structure to perceptions of monetary policy. Long-horizon forecasts of short rates required by no-arbitrage term structure models are heavily influenced by the endpoints, or limiting conditional forecasts, of the short rate process. Common assumptions that the short rate is mean-reverting or contains a unit root are shown to generate unrealistic yield predictions. Failures occur because these assumptions inadequately account for historical shifts in market perceptions of the policy target for inflation. This paper links endpoint shifts to agent learning about shifts in long-term policy goals. Shifting endpoints in short rate processes significantly improve yield predictions. (C) 2001 Elsevier Science B.V. All rights reserved.