Cracking the Conundrum

David Backus · Jonathan H. Wright

114 citations0/0 files storedBrookings Papers on Economic Activity

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

From 2004 to 2006, the FOMC raised the target federal funds rate by 4.25 percentage points, yet long-maturity yields and forward rates fell. We consider several possible explanations for this "conundrum." The most likely, in our view, is a fall in the term premium, probably associated with some combination of diminished macroeconomic uncertainty and financial market volatility, more predictable monetary policy, and the state of the business cycle.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 114 citations exist upstream.

References

1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables 2002Term Premia and Interest Rate Forecasts in Affine Models 2005Bond Risk Premia 2007The U.S. Treasury yield curve: 1961 to the present 2005The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure

Cited by

2013A forensic analysis of global imbalances 2015Price Pressures on UK Real Rates: An Empirical Investigation 2008Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds 2009Bond risk premia and realized jump risk 2013Financial Risk Measurement for Financial Risk Management 2009A structural decomposition of the US yield curve

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.