The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10

25 Pages Posted: 26 Apr 2011

See all articles by Carlos I. Medeiros

Carlos I. Medeiros

International Monetary Fund (IMF)

Marco Rodriguez Waldo

affiliation not provided to SSRN

Date Written: April 2011

Abstract

This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.

Keywords: Bonds, Financial crisis, Global Financial Crisis 2008-2009, Interest rate structures, Interest rates, United States

Suggested Citation

Medeiros, Carlos I. and Rodriguez Waldo, Marco, The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10 (April 2011). Available at SSRN: https://ssrn.com/abstract=1822950 or http://dx.doi.org/10.2139/ssrn.1822950

Carlos I. Medeiros (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Marco Rodriguez Waldo

affiliation not provided to SSRN ( email )

No Address Available

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