Euler equations and money market interest rates: The role of monetary policy and risk premium shocks

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 120
Issue: 1
Pages: 27-31

Authors (2)

Gareis, Johannes Mayer, Eric (Bayerische Julius-Maximilians-...)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We challenge the view that the negative correlation between the Federal Funds and the Euler equation interest rate is linked to monetary policy. Using Monte Carlo experiments, we show that the negative correlation can be explained by risk premium disturbances.

Technical Details

RePEc Handle
repec:eee:ecolet:v:120:y:2013:i:1:p:27-31
Journal Field
General
Author Count
2
Added to Database
2026-01-25