substantially more sensitive to central bank communication around policy meetings. Short-term interest rates react three to four …

advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks …

This paper tests the expectations hypothesis (EH) of the term structure of interest rates in US data, using spectral … and the change in the long-term interest rate in a frequency band of 6 months to 4 years, whereas the relation is negative …-term interest rates dominates at high and low frequencies, leading the EH to be rejected in those bands but not in the intermediate …

model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction … frequently mentioned structural effects on long-term interest rates. Finally, our bond yield equation outperforms a random walk …

limited liability), they offer mortgages at less than actuarially fair interest rates. This opens the door to home ownership …

of interest rate determination in which risk premia are captured via the macroeconomic (policy) environment. The …-term interest rates and the business cycle. A changed structural demand for bonds does not seem to be at work. The existing …