The Term Structure with Semi‐credible Targeting
美联储通过市场干预维持利率目标，本文构建了一个短期利率受控于目标、目标变化概率随可观测变量变化的期限结构模型，能较好解释目标变化带来的收益率曲线变动。
ABSTRACT The Federal Reserve sets targets for interest rates which it enforces through direct market intervention. These targets are changed periodically. In this paper, we develop a term structure model in which the short rate is subject to a control which keeps it close to a target which changes from time to time. The probability of target changes is not constant in the model, but changes as a function of observables. The model performs well at explaining the shifts in the yield curve that accompany target changes.