The effects of monetary policy regime shifts on the term structure of interest rates
DC Field | Value | Language |
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dc.contributor.author | Abdymomunov, Azamat | - |
dc.contributor.author | Kang, Kyu Ho | - |
dc.date.accessioned | 2021-09-04T17:38:24Z | - |
dc.date.available | 2021-09-04T17:38:24Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2015-04 | - |
dc.identifier.issn | 1081-1826 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/93940 | - |
dc.description.abstract | We investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (i) the Federal Reserve's reaction to inflation has changed over time, switching between "active" and "passive" monetary policy regimes; (ii) on average, the term spread in the "active" regime was wider than in the "passive" regime; and (iii) the yields in the "active" regime were considerably more volatile than in the "passive" regime. The wider term spread in the "active" regime reflects higher term premia associated with a more sensitive response of the short-term interest rate to inflation. Additionally, our analysis suggests that the model fit improves substantially when we account for regime switching in monetary policy and price of risk. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WALTER DE GRUYTER GMBH | - |
dc.subject | YIELD CURVE | - |
dc.subject | US | - |
dc.subject | MODEL | - |
dc.title | The effects of monetary policy regime shifts on the term structure of interest rates | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kang, Kyu Ho | - |
dc.identifier.doi | 10.1515/snde-2013-0031 | - |
dc.identifier.scopusid | 2-s2.0-84925409393 | - |
dc.identifier.wosid | 000351693300004 | - |
dc.identifier.bibliographicCitation | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, v.19, no.2, pp.183 - 207 | - |
dc.relation.isPartOf | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | - |
dc.citation.title | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | - |
dc.citation.volume | 19 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 183 | - |
dc.citation.endPage | 207 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.subject.keywordPlus | YIELD CURVE | - |
dc.subject.keywordPlus | US | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordAuthor | affine no-arbitrage model | - |
dc.subject.keywordAuthor | Markov switching process | - |
dc.subject.keywordAuthor | term structure of interest rates | - |
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