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http://hdl.handle.net/2451/26052
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| Title: | Cracking the Conundrum |
| Authors: | K. Backus, David
H. Wright, onathan |
| Keywords: | yield curve
forward rates
volatility
term premium
affine models
monetary policy |
| Issue Date: | 17-May-2007 |
| Series/Report no.: | EC-07-22 |
| Abstract: | From 2004 to 2006, the FOMC raised the target federal funds rate by
4.25%, yet long-maturity yields and forward rates fell. We consider
several possible explanations for this \conundrum." The most
likely, in our view, is a fall in the term premium, probably associated
with some combination of diminished macroeconomic and financial market
volatility, more predictable monetary policy, and the state of the
business cycle. |
| URI: | http://hdl.handle.net/2451/26052 |
| Appears in Collections: | Economics Working Papers
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