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- W3123561815 abstract "We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The no-arbitrage framework also accommodates backward-looking and forward-looking Taylor rules. We find that inflation and output gap account for over half of the variation of time-varying excess bond returns and most of the movements in the term spread. Taylor rules estimated with no-arbitrage restrictions differ from Taylor rules estimated by OLS, and the resulting monetary policy shocks are somewhat less volatile than their OLS counterparts." @default.
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- W3123561815 date "2004-01-01" @default.
- W3123561815 modified "2023-09-24" @default.
- W3123561815 title "No-Arbitrage Taylor Rules" @default.
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- W3123561815 doi "https://doi.org/10.2139/ssrn.621126" @default.
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