Was There a "Peso Problem" in the U.S. Term Structure of Interest Rates:1979-1982?
Karen K. Lewis
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.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.