A Model of Target Changes and the Term Structure of Interest Rates

Preprint OPEN
Pierluigi Balduzzi; Giuseppe Bertola; Silverio Foresi;
  • Subject:
    • jel: jel:E43 | jel:E44

We explore the effects of official targeting policy on the term-structure of nominal interest rates, adapting relevant insights from theoretical work on "peso problems" to account for realistic infrequency of target changes. Our analysis of daily U.S. interest rates and... View more
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