External Links Policy

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1. Introduction

The most recent creative writing of recognized artisti value on the term structure of interest rates proposes that the seminal model of Campbell and Shiller (1987), consisting of the disseminate and the modify in the short-term rate in a vector autoregressive (VAR) specification, could be too parsimonious to fit the selective information (Carriero, Favero, and Kaminska 2006). In fact, this bivariate approach includes an implicit reaction function, where the only determinants of policy rates are long-term rates. Therefore, there are potential misspecifications due to the omission of macroeconomic factors. To solve this problem, a heap of writers have considered the inclusion of other macroeconomic variables, “a la Taylor,” to which monetary policymakers react. The general potential omitted variables involved in the augmented models are internal…