In practice, the expectations theory of the term structure is employed extensively
in monetary policy analysis despite its empirical failure. This paper performs a
conditional test of the theory that is directly relevant to monetary theory and policy.
It finds that the theory holds quite well conditional on identified monetary policy
shocks, but fails conditional on aggregate supply shocks that prompt an immediate
jump in prices. It also finds that policy responses to movements in the term structure
play an important role in uncovering evidence for the theory as predicted by McCallum
[1994. Monetary policy and the term structure of interest rates. NBER Working Paper
Series, no. 4938].
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