Was There a "Peso Problem" in the U.S. Term Structure of Interest Rates: 1979-1982? / Karen K. Lewis.

Format:

Book

Author/Creator:

Lewis, Karen K.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3282.

NBER working paper series no. w3282

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Was There a "Peso Problem" in the U.S. Term Structure of Interest Rates

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

During the period following October 1979 through 1982, the U.S. Federal Reserve allowed interest rates to fluctuate widely, in contrast to its previous policy of targeting these rates in the 1970. The policy was abandoned in 1982 in favor of an operating procedure that reduced the variation in interest rates. This paper implements an estimation method to identify from the term structure of Eurodollar returns the market's beliefs that the Fed may revert to interest rate targeting. The model is not rejected and gives plausible estimates of the probability of a switch in monetary regimes.

Notes:

Print version record

March 1990.