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This paper examines the empirical relationship between the movement of the slope factor in term structure of nominal interest rates and exogenous monetary-policy shocks in the U.S. after 1982. Using first a six-variable VAR model and then a GMM estimation model of the "Taylor rule," I estimate...
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to the anticipated changes in the rate of inflation. The analysis is carried out with monthly data for the period 1980 …-97 for three countries with recent histories of chronic high inflation: Argentina, Brazil, and Mexico. A co …-integration analysis has provided evidence of a stable long-run equilibrium relationship between nominal interest rates and the inflation …
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