TY - BOOK ID - 84539315 TI - Changes in the Relationship Between the Long-Term Interest Rate and its Determinants AU - Lee, William. AU - Prasad, Eswar. PY - 1994 SN - 1462383203 1452700788 1282041088 1451995199 9786613797063 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and Banking KW - Money and Monetary Policy KW - Interest Rates: Determination, Term Structure, and Effects KW - Monetary Policy KW - Finance KW - Monetary economics KW - Long term interest rates KW - Short term interest rates KW - Monetary tightening KW - Yield curve KW - Monetary stance KW - Financial services KW - Monetary policy KW - Interest rates KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84539315 AB - This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained. ER -