01917cas a2200253 a 4500 AALejournalIMF004415 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451854657 1018-5941 BD-DhAAL BD-DhAAL Lee, William. Changes in the Relationship Between the Long-Term Interest Rate and its Determinants / William Lee, Eswar Prasad. Washington, D.C. : International Monetary Fund, 1994. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Prasad, Eswar. IMF Working Papers; Working Paper ; No. 1994/124 Full text available on IMF http://elibrary.imf.org/view/journals/001/1994/124/001.1994.issue-124-en.xml IMF e-Library