RT Journal Article
T1 The impact of the term spread in US monetary policy from 1870 to 2013
A1 Vides González, José Carlos
A1 Golpe Moya, Antonio Aníbal
A1 Iglesias Garrido, Jesús
AB In this paper, we apply a novel econometric approach joint with an exhaustive revision of the main events in the history of US monetary policy in order to check the effectiveness of monetary policy focused on interest rates. Unlike the traditional cointegration approach, this new methodology allows us to break with the rigidity of traditional approaches in favour of letting the series be cointegrated, and the spread is able to follow a long-memory process; i.e., it does not necessarily need to be I(0) and also rejects the assumption that interest rates could follow the dichotomy I(0)/I(1). To the best of our knowledge, this is one of the first applications of the Fractionally Cointegrated Vector Autoregressive (FCVAR) model (Johansen and Nielsen (2012) and Nielsen and Popiel (2016)). Aiming to achieve this goal, we use two databases, i.e., the Jordà-Schularick-Taylor Macrohistory Database and Shiller’s database. Our results cannot reject the Expectations Hypothesis of Term Structure in this time period, and more importantly, we also find that the long-term rate drives the long-run relationship, contributing to the total proportion to the common trend; the persistence of the spread shows us effective control power over interest rates by the Fed.
PB Elsevier
SN 0161-8938
SN 1873-8060 (electrónico)
YR 2021
FD 2021-01
LK https://hdl.handle.net/10272/24819
UL https://hdl.handle.net/10272/24819
LA eng
NO Vides, J. C., Golpe, A. A., & Iglesias, J. (2021). The impact of the term spread in US monetary policy from 1870 to 2013. In Journal of Policy Modeling (Vol. 43, Issue 1, pp. 230–251). Elsevier BV. https://doi.org/10.1016/j.jpolmod.2020.07.002
DS Repositorio Institucional de la Universidad de Huelva
RD 1 jun 2026