Monetary Policy Shifts and Long-Term Interest Rates
发现，传统纯预期假说在解释长短期利率关系时表现不佳，而将货币政策体制变化纳入模型后，理论利差与实际利差高度相关且波动幅度几乎一致。
The Pure Expectations Hypothesis (PEH) serves as the benchmark model for the relationship between yields on bonds of different maturities. When coupled with rational expectations, however, empirical renderings of the model fail miserably. I explore the possibility that failure to account for changes in monetary policy regime explains much of the failure of the PEH. Estimating changing monetary regimes in conjunction with the PEH significantly improves its performance. The predicted spread between the long and short rates is highly correlated with the actual spread. The standard deviation of the theoretical spread is nearly identical to that of the actual spread.