Tests of the expectations hypothesis and policy reaction to the term spread: some comparative evidence
Boero, Gianna; Torricelli, Costanza;
Publisher: University of Warwick, Department of Economics
The aim of this paper is to evaluate the impact of monetary policy in tests of the Expectations Hypothesis of the term structure of interest rates. We apply the model developed by McCallum (1994b), in which the Expectations Hypothesis interacts with a policy reaction fu... View more
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