The US term structure and central bank policy
نویسندگان
چکیده
منابع مشابه
A dynamic term structure model of Central Bank policy
This thesis investigates the implications of explicitly modeling the monetary policy of the Central Bank within a Dynamic Term Structure Model (DTSM). We follow Piazzesi (2005) and implement monetary policy by including the Fed target rate as a state variable. The discontinuous target dynamics are accurately modeled via a non-linear switching process, while still maintaining affine requirements...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2012
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504851.2011.566171