The aim of this paper is to evaluate the impact of monetary policy in tests of the Expectations Hypothesis of the term structure of interest rates. We apply the model developed by McCallum (1994b), in which the Expectations Hypothesis interacts with a policy reaction function and with a...

The paper deals with G. Rudebusch’s paper Federal Reserve Interest Rate Targeting, Rational Expectations and the Term Structure published in Journal of Monetary Economics in 1995. I define main resources of the study, discuss the most important parts of Rudebusch’s paper and present key...

We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature...

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate negotiated on the Italian interbank deposits market (e-MID) using high-frequency transaction data. We find that the largest increases in volatility and the most notable variations...

This article develops time-series models to represent three alternative, potential monetary policy regimes as monetary policy returns to normal. The first regime is a return to the high and volatile inflation rate of the 1970s. The second regime, the one that most Federal Reserve officials and...

In this study, we aim to investigate relationship between interest rate and consumer price index in Austria by using quarterly data belonging 1990:Q1 to 2013:Q4.period in the context of Fisher (1930) hypothesis. We employ linear unit root test and causality tests. according to linear Granger...

In this study, it was analyzed the structure of stationary of Istanbul Stock Exchange return rate and interest rate series and whether it’s are linear in the period of 1986:01-2012:07. It was used linearity and unit root tests developed by Caner and Hansen (2002). As a result of these tests,...

There exist a variety of reasons for the failure to find a unique cointegrating relationship between economic time series where one would normally be expected on economic theory grounds. Among these are the testing procedure (e.g., Engle and Granger (1987) or Johansen (1991), the span of the...

This paper conducts an empirical analysis to establish whether a causal relationship exists between oil prices and interest rate in South Africa. We employ a causality testing procedure in the frequency domain to analyse the relationship between these two variables. We use monthly data on the...