The term structure with semi credible targeting

• 成果类型: Article
• 署名作者: Farnsworth, H; Bass, R
• 署名单位: Washington University (WUSTL); University of Connecticut
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00548
• 发表日期: 2003
• 页码: 839-865
• 关键词: interest-rates

摘要

The Federal Reserve sets targets for interest rates which it enforces through direct market intervention. These targets are changed periodically. In this paper, we develop a term structure model in which the short rate is subject to a control which keeps it close to a target which changes from time to time. The probability of target changes is not constant in the model, but changes as a function of observables. The model performs well at explaining the shifts in the yield curve that accompany target changes.