We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the <xref ref-type="bibr" rid="bib47">Taylor's (1993</xref>, "Discretion Versus Policy Rules in Practice", Carnegie-Rochester Conference Series on Public Policy, 39, 195--214)...

Department: School of Business.

We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The...