FEDERAL-RESERVE INTEREST-RATE TARGETING, RATIONAL-EXPECTATIONS, AND THE TERM STRUCTURE

• 成果类型: Article; Proceedings Paper
• 署名作者: RUDEBUSCH, GD
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(95)01190-Y
• 发表日期: 1995
• 页码: 245-274
• 关键词: term structure; rational expectations; Federal Reserve

摘要

The amount of information in the yield curve for forecasting future changes in short rates varies with the maturity of the rates involved. Indeed, spreads between certain long and short rates appear unrelated to future changes in the short rate - contrary to the rational expectations hypothesis of the term structure. This paper estimates a daily model of Federal Reserve interest rate targeting behavior, which, accompanied by the maintained hypothesis of rational expectations, explains the varying predictive ability of the yield curve and elucidates the link between Fed policy and the term structure.