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The unusual behavior of the federal funds and 10-year Treasury rates: a conundrum or Goodhart’s Law?
16 references·1 citing·47 second hop
The unusual behavior of the federal funds and 10-year Treasury rates: a conundrum or Goodhart’s Law? (2008)The unusual behavior of the federal funds…The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (2007)The Empirical Failure of the …Generalizing the Taylor Principle (2007)Generalizing the Taylor Princ…Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models (2007)Accounting for a Shift in Ter…The Bond Yield "Conundrum" from a Macro-Finance Perspective (2006)The Bond Yield "Conundrum" fr…Term Structure Estimation with Survey Data on Interest Rate Forecasts (2006)Term Structure Estimation wit…INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)INTEREST AND PRICES: FOUNDATI…An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates (2005)An Arbitrage-Free Three-Facto…Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment (2004)Monetary Policy Alternatives …Market Anticipations of Monetary Policy Actions (2002)Market Anticipations of Monet…Expectations Hypotheses Tests (2001)Expectations Hypotheses TestsOptimal Monetary Policy Inertia (1999)Optimal Monetary Policy Inert…Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures (1996)Testing structural stability …Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…How Did We Get to Inflation Targeting and Where Do We Need to Go to Now? 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(2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Discretion versus policy rules in practice (1993)One Money, One Market: Estimating the Effect of Common Currencies on Trade (1999)Learning about monetary policy rules (2002)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2010)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Term Premia and Interest Rate Forecasts in Affine Models (2002)Decomposing the Yield Curve (2009)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)The influence of monetary policy on bank profitability (2017)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Staggered prices in a utility-maximizing framework (1983)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Monetary–fiscal policy interactions and fiscal stimulus (2010)Time-varying short-horizon predictability☆ (2010)Regime Changes and Financial Markets (2012)An equilibrium characterization of the term structure (1977)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Bond Supply and Excess Bond Returns (2014)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)A General Equilibrium Approach To Monetary Theory (1969)A Theory of the Term Structure of Interest Rates (1985)International capital flows and U.S. interest rates (2009)Banks’ Financial Reporting and Financial System Stability (2016)Some Lessons from the Yield Curve (1995)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence (2000)
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References

  • 2005INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY5,508 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1999Optimal Monetary Policy Inertia998 cited
  • 2005An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates490 cited
  • 2007Generalizing the Taylor Principle402 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 2004Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment339 cited
  • 2001Expectations Hypotheses Tests289 cited
  • 2002Market Anticipations of Monetary Policy Actions205 cited
  • 1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures195 cited
  • 2006Term Structure Estimation with Survey Data on Interest Rate Forecasts170 cited
  • 2007Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models141 cited
  • 2007

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The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
138 cited
  • 2006The Bond Yield "Conundrum" from a Macro-Finance Perspective128 cited
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    • 2012How Did We Get to Inflation Targeting and Where Do We Need to Go to Now? A Perspective from the U.S. Experience10 cited