Time‐varying yield curve dynamics and monetary policy
用时变结构向量自回归模型，研究美国货币政策、收益率曲线与私人部门行为的关系，发现1980年代初的货币政策冲击解释了通胀和期限结构水平的持续性，而收益率曲线隐含的通胀预期变化则解释了联邦基金利率的持续性。
Abstract Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time‐varying structural vector autoregression. The monetary policy shocks of the early 1980s explain a large portion of the persistence of inflation and the level of the term structure. Changes in inflation expectations implied by the yield curve account for the persistence of the federal funds rate. Failures of the expectations hypothesis are rare, and coincided with the credibility building of Paul Volcker's Fed tenure at the beginning of the 1980s and the sequence of consecutive policy rate cuts around the time of the early 1990s recession. Copyright © 2009 John Wiley & Sons, Ltd.