Taylor Rules , McCallum Rules and the Term Structure of Interest Rates

  title={Taylor Rules , McCallum Rules and the Term Structure of Interest Rates},
  author={Michael Gallmeyer and Burton Hollifield and Stanley E. Zin},
Recent empirical research shows that a reasonable characterization of federal-funds rate targeting behavior is that the change in the target rate depends on the maturity structure of interest rates and exhibits little dependence on lagged target rates. See, for example, Cochrane and Piazzesi (2002). The result echoes the policy rule used by McCallum (1994) to rationalize the empirical failure of the ‘expectations hypothesis’ applied to the termstructure of interest rates. McCallum showed that a… CONTINUE READING
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