Monetary policy and the yield curve
By: Antulio N. Bomfim.
Series: Finance and economics discussion series ;; 2003-15; Finance and economics discussion series (Online) ;; 2003-15.
Publisher: Federal Reserve Board
Published: 2003
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Subjects: Interest rates -- United States -- Mathematical models.
Description: "This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001.  Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve"--Federal Reserve Board web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 7/28/2004.
Also available in print.
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Mode of access: World Wide Web.