Title of article :
The termstructureofpolicyrules
Author/Authors :
Josephine M. Smith، نويسنده , , JohnB.Taylor ، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
A formulaisderivedthatlinksthecoefficientsofthemonetarypolicyrulefortheshort-
term interestratetothecoefficientsoftheimpliedaffineequationsforlong-term
interestrates.Theformulapredictsthatanincreaseinthecoefficientsinthemonetary
policy rulewillleadtoanincreaseinthecoefficientsintheaffineequations.Empirical
evidenceforsuchapredictionisprovided.Thecurveoftheresponsecoefficientsby
maturityisalsopredictedbytheformula.Theformula’spredictiveaccuracyandits
closed formmakeitausefultoolforstudyingthepolicyimplicationsofembeddingno-
arbitrageaffinetheoriesintomacromodels
Keywords :
Affine modelsNo arbitrageMonetary policyrulesTermstructureofinterestrates
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
