Title: Essays on the monetary aspects of the term structure of nominal interest rates
Abstract: This paper builds a simple, empirically-veriÞable rational expectations model for term structure of nominal interest rates analysis. It solves a stochastic growth model with investment costs and sticky insation, susceptible to the intervention of the monetary authority following a policy rule. The model predicts several patterns of the term structure which are in accordance to observed empirical facts: (i) pro-cyclical pattern of the level of nominal interest rates; (ii) countercyclical pattern of the term spread; (iii) pro-cyclical pattern of the curvature of the yield curve; (iv) lower predictability of the slope of the middle of the term structure; and (v) negative correlation of changes in real rates and expected insation at short horizons. JEL classification: E32; E43; E52
Publication Year: 2001
Publication Date: 2001-09-05
Language: en
Type: dissertation
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Cited By Count: 4
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