Testing for Real Effects of Monetary Policy Regime Shifts: Note

1988 ◽  
Vol 20 (3) ◽  
pp. 393 ◽  
Author(s):  
Carl E. Walsh
Keyword(s):  
Monetary Policy ◽  
Regime Shifts ◽  
Policy Regime ◽  
Real Effects

scholarly journals The effects of monetary policy regime shifts on the term structure of interest rates

2015 ◽  
Vol 19 (2) ◽  
Author(s):  
Azamat Abdymomunov ◽  
Kyu Ho Kang
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Term Structure ◽  
Regime Shifts ◽  
Policy Regime ◽  
Policy Regimes ◽  
Term Structure Model ◽  
Price Of Risk ◽  
Free Dynamic ◽  
Do So

AbstractWe investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (

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