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Keywords:Interest rates 

Working Paper
Why random walk models of the term structure are hard to reject

Finance and Economics Discussion Series , Paper 1

Working Paper
Monetary policy and the yield curve

This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve.
Finance and Economics Discussion Series , Paper 2003-15

Working Paper
Money and inflation: some critical issues

We consider what, if any, relationship there is between monetary aggregates and inflation, and whether there is any substantial reason for modifying the current mainstream mode of policy analysis, which frequently does not consider monetary aggregates at all. We begin by considering the body of thought known as the "quantity theory of money." The quantity theory centers on the prediction that there will be a long-run proportionate reaction of the price level to an exogenous increase in the nominal money stock. The nominal homogeneity conditions that deliver the quantity-theory result are ...
Finance and Economics Discussion Series , Paper 2010-57

Working Paper
What do regressions of interest rates on deficits imply?

Finance and Economics Discussion Series , Paper 3

Working Paper
Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence

The Federal Reserve and other central banks tend to change short-term interest rates in sequences of small steps in the same direction and reverse the direction of interest rate movements only infrequently. These characteristics, often referred to as interest-rate smoothing, have led to criticism that policy responds too little and too late to macroeconomic developments, suggesting to some observers that the Federal Reserve has an objective of minimizing interest-rate volatility. This paper, however, argues that the observed degree of interest-rate smoothing may well represent optimal ...
Finance and Economics Discussion Series , Paper 1999-39

Working Paper
Fitting the term structure of interest rates with smoothing splines

Finance and Economics Discussion Series , Paper 95-1

Working Paper
The treasury yield curve as a cointegrated system

Finance and Economics Discussion Series , Paper 106

Working Paper
Estimating the value and interest rate risk of interest-bearing transactions deposits

A valuation model is developed within an interest rate contingent claims framework to estimate NOW account and MMDA premiums and interest rate risk for a sample of commercial banks. As has been previously done, bank deposit rate and balances dynamics are represented by autoregressive processes but with attention given here to alternative specifications and to the deposit rent processes and dynamics implied by these specifications. Alternative deposit rate specifications studied include asymmetric adjustment to market rate changes. In examining the implied deposit rent processes, special ...
Finance and Economics Discussion Series , Paper 2000-53

Working Paper
New evidence on the interest rate effects of budget deficits and debt

Estimating the effects of government debt and deficits on Treasury yields is complicated by the need to isolate the effects of fiscal policy from other influences. To abstract from the effects of the business cycle, and associated monetary policy actions, on debt, deficits, and interest rates, this paper studies the relationship between long-horizon expected government debt and deficits, measured by CBO and OMB projections, and expected future long-term interest rates. The estimated effects of government debt and deficits on interest rates are statistically and economically significant: a one ...
Finance and Economics Discussion Series , Paper 2003-12

Working Paper
Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty

The term structure of interest rates is the primary transmission channel of monetary policy. Under the expectations hypothesis, anticipated settings of the short-term interest rate controlled by the central bank are the main determinants of nominal bond rates. Historical experience suggests that bond rates may remain relatively high even if the short-term interest rate is reduced to zero, in part due to term premiums reflecting uncertainty about future policy. Term spreads due to policy uncertainty may be reduced by central bank trading desk options that provide insurance against future ...
Finance and Economics Discussion Series , Paper 1999-14

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