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Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models (2005)
| Content Provider | CiteSeerX |
|---|---|
| Author | Wu, Tao Rudebusch, Glenn D. |
| Abstract | This paper examines a shift in the dynamics of the term structure of interest rates in the U.S. during the mid-1980s. We document this shift using standard interest rate regressions and using dynamic, affine, no-arbitrage models estimated for the pre- and post-shift subsamples. The term structure shift largely appears to be the result of changes in the pricing of risk associated with a level factor. Using a macro-finance model, we suggest a link between this shift in term structure behavior and changes in the dynamics and risk pricing of the Federal Reserves inflation target as perceived by investors. |
| File Format | |
| Publisher Date | 2005-01-01 |
| Access Restriction | Open |
| Subject Keyword | Macro-finance Model Post-shift Subsamples Risk Pricing Federal Reserve Inflation Target Standard Interest Rate Regression Level Factor Term Structure Behavior Term Structure Shift No-arbitrage Model |
| Content Type | Text |
| Resource Type | Article |
