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- W2773327918 abstract "Summary The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates, and term premia is essential to understanding this channel. To accomplish this, we provide a quantitative structural model with endogenous, time‐varying term premia that are consistent with empirical findings. News about future policy, in contrast to unexpected policy shocks, has quantitatively significant effects on term premia along the entire term structure. This provides a plausible explanation for partly contradictory estimates in the empirical literature." @default.
- W2773327918 created "2017-12-22" @default.
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- W2773327918 date "2021-08-31" @default.
- W2773327918 modified "2023-10-16" @default.
- W2773327918 title "(Un)expected monetary policy shocks and term premia" @default.
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- W2773327918 doi "https://doi.org/10.1002/jae.2872" @default.
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