Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/84697
Authors: 
Mumtaz, Haroon
Surico, Paolo
Year of Publication: 
2008
Series/Report no.: 
External MPC Unit Discussion Paper 23
Abstract: 
The dynamics of the US economy are modelled using a time-varying structural vector autoregression that incorporates information from the yield curve. We find important changes in the dynamics of macroeconomic variables such as inflation and the federal funds rate. In addition our results suggest a change in the relationship between the yield curve and macroeconomic variables. The monetary policy shocks of the early 1980s explain a large portion of the persistence of inflation and the level of the yield curve. Shocks to the level of the yield curve account for the persistence of the federal funds rate. We use our time-varying model provides to revisit the evidence on the expectations hypothesis.
Subjects: 
Nelson-Siegel
time variation
inflation expectations
credibility building
evidence on expectations hypothesis
JEL: 
C15
E44
E52
Document Type: 
Working Paper

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