International Finance Discussion Papers

RESEARCH - Federal Reserve Board Working Papers, Evidence Uncovered: Long-Term Interest Rates, Monetary Policy, and the Expectations Theory by Jennifer E. Roush, October 2001.

Abstract: A large body of literature has failed to find conclusive evidence that the expectations theory of the term structure holds in U.S. data. This paper asks more narrowly whether the theory holds conditional on an exogenous change in monetary policy. We argue that previous work on the expectation theory has failed to

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