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• W1514122983 abstract "We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility is defined as the conditional volatility of the error term in a Taylor rule. We find that an increase in monetary policy uncertainty raises the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics." @default.
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• W1514122983 date "2010-10-01" @default.
• W1514122983 modified "2023-10-02" @default.
• W1514122983 title "The role of monetary policy uncertainty in the term structure of interest rates" @default.
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• W1514122983 hasPublicationYear "2010" @default.
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