Monetary Policy Shifts and the Term Structure,”NBER working paper 13448

Monetary Policy Shifts and the Term Structure,”NBER working paper 13448 (2008)

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by Andrew Ang , Jean Boivin , Sen Dong , Lehman Brothers

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@MISC{Ang08monetarypolicy,
    author = {Andrew Ang and Jean Boivin and Sen Dong and Lehman Brothers},
    title = {Monetary Policy Shifts and the Term Structure,”NBER working paper 13448},
    year = {2008}
}

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Abstract

Interest rate risk; time-varying parameter model. The paper has benefited from discussions with Michael Johannes and Monika Piazzesi. We thank seminar participants at UT Austin, the Capital Group, and the Federal Reserve Board. We thank Rudy Loo-Kung for excellent research assistance. Andrew Ang and Jean Boivin acknowledge support from the NSF (SES-0137145 and SES-0518770).

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