Taylor rules, McCallum rules and the term structure of interest rates
نویسندگان
چکیده
منابع مشابه
WORKING PAPER SERIES Taylor Rules and the Term Structure
The expectations model of the term structure of interest rates has been subjected to numerous empirical tests and almost invariably rejected. In fact, the vast majority of the empirical evidence is based on the estimation of single-equation models and on the assumption that realized returns are a valid proxy for expected returns. A recent strand of the macroeconomic literature has analyzed mone...
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15 صفحه اولTerm Structure of Interest Rates
I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...
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متن کاملTerm Structure of Interest Rates
In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2005
ISSN: 0304-3932
DOI: 10.1016/j.jmoneco.2005.07.010