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- Title
Examining the Behavior of Long-Term Interest Rates Using a Dynamic Taylor-Type Rule.
- Authors
Seyfried, William L.
- Abstract
Though Taylor's rule has been extensively used to examine interest rates directly controlled by central banks, its application to the behavior of market-based interest rates has been limited. A dynamic version of Taylor's rule is employed to assess the primary factors that describe the behavior of two common measures of long-term interest rates, the yield on the ten-year Treasury bond and the average rate on thirty-year fixed-rate mortgages. Support for the Fisher effect is found in both cases along with estimates of the sensitivity of interest rates to the strength of the economy. In addition, the dynamic nature of adjustments in each interest rate is obtained, with Treasury bond rates displaying both a higher speed of adjustment and more persistence than mortgage rates.
- Subjects
INTEREST rates; ECONOMIC indicators; GOVERNMENT securities; FIXED rate mortgages; MARKETING research; VARIABLE interest rates; ECONOMICS
- Publication
B>Quest, 2013, p1
- ISSN
1084-3981
- Publication type
Article