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Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …

Persistent link: https://www.econbiz.de/10012316011

Maturity induced bias in estimating spot rate diffusion models

Honoré, Peter - 1997

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The expectation hypothesis of the term structure of very short-term rates : statistical tests and economic value

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Squeezing the interest rate smoothing weight with a hybrid expectations model

Castelnuovo, Efrem - 2003

Successful descriptions of short-term nominal interest rates inertial behavior have frequently been obtained with small scale macro models in which a Central Banker minimizes a loss function embedding an argument labelled as interest rate smoothing. The rationale for this argument is not...

Persistent link: https://www.econbiz.de/10011589555

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

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