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Journal Article
Monetary policy shocks and long-term interest rates
Edelberg, Wendy; Marshall, David A. (1996-03)
Exogenous shocks to monetary policy strongly affect short-term interest rates, but have little or no effect on longer-term interest rates.
Economic Perspectives , Volume 20 , Issue Mar , Pages 2-17

Report
Default and the maturity structure in sovereign bonds
Ramanarayanan, Ananth; Arellano, Cristina (2008)
This paper studies the maturity composition and the term structure of interest rate spreads of government debt in emerging markets. In the data, when interest rate spreads rise, debt maturity shortens and the spread on short-term bonds is higher than on long-term bonds. To account for this pattern, we build a dynamic model of international borrowing with endogenous default and multiple maturities of debt. Short-term debt can deliver higher immediate consumption than long-term debt; large long-term loans are not available because the borrower cannot commit to save in the near future towards ...
Staff Report , Paper 410

Journal Article
An error-correction model of the long-term bond rate
Mehra, Yash P. (1994-10)
Economic Quarterly , Issue Fall , Pages 49-68

Journal Article
Using the term structure of interest rates for monetary policy
Goodfriend, Marvin (1998-07)
Economic Quarterly , Issue Sum , Pages 13-30

Working Paper
The bond rate and actual future inflation
Mehra, Yash P. (1997)
The long-term bond rate is cointegrated with the actual one-period inflation rate during two sample periods, 1961Q1 to 1979Q3 and 1961Q1 to 1995Q4. This result indicates that in the long run the bond rate and actual inflation move together. The nature of short-run dynamic adjustments between these variables has, however, changed over time. In the pre-1979 period, when the bond rate rose above the one-period inflation rate, actual inflation accelerated. In the post-1979 period, however, the bond rate reverted back and actual inflation did not accelerate. Thus, the bond rate signaled future ...
Working Paper , Paper 97-03

Working Paper
Sovereign default risk and uncertainty premia
Pouzo, Demian; Presno, Ignacio (2012)
This paper studies how foreign investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we explain the bond spreads dynamics observed in the data as well as other business cycle ...
Working Papers , Paper 12-11

Journal Article
Has the effect of monetary policy announcements on asset prices changed?
Doh, Taeyoung; Connolly, Michael (2013-07)
The Federal Reserve increasingly has relied on forward guidance about the future path of the federal funds rate to implement monetary policy since the federal funds target rate reached its effective lower bound. The enhanced use of forward policy guidance has drawn attention to any change in its influence on the real economy. Changes in policy guidance affect the private sector?s expectations about the future path of the federal funds rate and, in turn, affect bond yields, stock prices and asset values. Changes in asset values influence real activity through their effects on spending by ...
Economic Review , Issue Q III , Pages 31-65

Working Paper
Requiem for a market marker: the case of Drexel Burham Lambert and below-investment-grade bonds
Brewer, Elijah; Adams, William James (1997)
Working Paper Series, Issues in Financial Regulation , Paper WP-97-25

Working Paper
The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997
Bordo, Michael D.; Haubrich, Joseph G. (2004)
This paper brings historical evidence to bear on the stylized fact that the yield curve predicts future growth. The spread between corporate bonds and commercial paper reliably predicts future growth over the period 1875-1997. This predictability varies over time, however, particularly across different monetary regimes. In accord with our proposed theory, regimes with low credibility (high persistence of inflation) tend to have better predictability.
Working Papers (Old Series) , Paper 0402

Working Paper
Financial signal processing: a self calibrating model
Jamieson, Barbara M.; Elliott, Robert J.; Hunter, William C. (2000)
Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain explicit expressions for the prices of zero-coupon bonds and other securities. Discretizing our model allows the use of signal processing techniques from Hidden Markov Models. This means we can estimate not only the unobserved Markov chain but also the parameters of the model, so the model is ...
Working Paper Series , Paper WP-00-21

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