McCallum (1994) sets up a Rational Expectation model for the interaction of monetary policy and the Expectation Theory of the term structure which rationalises some empirical failures of the latter and demonstrates the inappropriateness of usual regression tests for the information in the term structure. In the present paper, we generalize McCallum (1994) two-period model by introducing a different, finance-theoretic characterization of the term premium. Our results still account for those empirical findings which are at odds with the Expectation Theory of the term structure and yet support validity of usual regressions performed to assess the information content of the term structure. Our results depend on the relative magnitude of the relevant parameters in the model and therefore final conclusions have to be left to empirical investigations.

Monetary policy and the term structure of interest rates: a generalization of McCallum model / Malaguti, Luisa; Torricelli, Costanza. - STAMPA. - 2:(1997), pp. 271-285.

Monetary policy and the term structure of interest rates: a generalization of McCallum model

MALAGUTI, Luisa;TORRICELLI, Costanza
1997

Abstract

McCallum (1994) sets up a Rational Expectation model for the interaction of monetary policy and the Expectation Theory of the term structure which rationalises some empirical failures of the latter and demonstrates the inappropriateness of usual regression tests for the information in the term structure. In the present paper, we generalize McCallum (1994) two-period model by introducing a different, finance-theoretic characterization of the term premium. Our results still account for those empirical findings which are at odds with the Expectation Theory of the term structure and yet support validity of usual regressions performed to assess the information content of the term structure. Our results depend on the relative magnitude of the relevant parameters in the model and therefore final conclusions have to be left to empirical investigations.
Geld, Finanz, bank und Versicherungen
9783884876497
VVW Karlsruhe
GERMANIA
Monetary policy and the term structure of interest rates: a generalization of McCallum model / Malaguti, Luisa; Torricelli, Costanza. - STAMPA. - 2:(1997), pp. 271-285.
Malaguti, Luisa; Torricelli, Costanza
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/462581
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact