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

被引：177

作者：

RUDEBUSCH, GD

机构：

[1] Economic Research Department, Federal Reserve Bank of San Francisco, San Francisco

来源：

JOURNAL OF MONETARY ECONOMICS | 1995年 / 35卷 / 02期

关键词：

TERM STRUCTURE; RATIONAL EXPECTATIONS; FEDERAL RESERVE;

D O I：

10.1016/0304-3932(95)01190-Y

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：245 / 274

页数：30

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