Recent Advances in Extracting Policy-Relevant Information from Market Interest Rates
10 Pages Posted: 18 Jun 2008
Date Written: 2008
Abstract
Market interest rates form an important part of the transmission mechanism of monetary policy. They also contain information about market expectations of future policy rates as well as attitudes to, and perceptions of, risk. Extracting and interpreting this policy-relevant information is not straightforward, however. This article describes recent advances in this field and how they can be used to shed light on the downward trend in long-term real forward interest rates and the upward trend in long-term inflation forward rates, both developments that have attracted the attention of policymakers.
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Specification Analysis of Affine Term Structure Models
By Qiang Dai and Kenneth J. Singleton
-
Specification Analysis of Affine Term Structure Models
By Qiang Dai and Kenneth J. Singleton
-
By Andrew Ang and Monika Piazzesi
-
By Andrew Ang and Monika Piazzesi
-
By John H. Cochrane and Monika Piazzesi
-
Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
By Qiang Dai and Kenneth J. Singleton
-
Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
By Qiang Dai and Kenneth J. Singleton
-
Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
By Qiang Dai and Kenneth J. Singleton
-
Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure
By Qiang Dai and Kenneth J. Singleton