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- Title
THE EXPECTATIONS HYPOTHESIS, THE YIELD CURVE, AND MONETARY POLICY: COMMENT.
- Authors
Cox, Jack W.; Deming, Frederick W.
- Abstract
This article comments on the expectations hypothesis and the determination of the term structure of interest rates of John H. Wood. The author of this article finds little difference between the ability of the monetary authorities to affect the structure of rates as implied by Wood's results. In addition, the author finds that Wood's description of "swapping" operations is incomplete and that his conclusions are not so certain. The author questions as to what is the new equilibrium of the yield curve after the swap has been completed. The author also comments on the statement of Wood that the nature of the expectations hypothesis of Wood is such that although the monetary authorities can bring about a change in the overall level of interest rates, the authorities are not able to exert an independent influence over each and every rate on the yield curve.
- Subjects
INTEREST rates; INTEREST rate swaps; RATIONAL expectations (Economic theory); MONETARY policy; INTEREST rate futures; INTEREST (Finance)
- Publication
Quarterly Journal of Economics, 1966, Vol 80, Issue 2, p333
- ISSN
0033-5533
- Publication type
Article
- DOI
10.2307/1880697