Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Information of the Yield Curve of Korea and Monetary Regimes

Vol.16, No.2, June , 1–15


English Version |  Korean Version
  •   (Chungnam University)

  •   (Hankuk University of Foreign Studies)

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Abstract  

We examined the forecast power ofthe term structure of interest rates on future interest rates and tested whether changes in monetary policy regimes affect the power using Campbell (1995). The pure expectations hypothesis was rejected for both monetary targeting and inflation targeting periods. We also found that the term structure of interest rates had forecast power on the direction of future interest rates for inflation targeting monetary regime whereas it does not for monetary targeting regime. This result is opposite to Mankiw and Miron's (1986) conjecture and Engsted and Tanggaard (1995) for Danish but consistent with Cha (2003) for Korea.


Keywords
   Interest Rate Spreads, Yield Curve, The Expectations Hypothesis, Monetary Policy Regime, Targeting

JEL classification codes
   E4
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