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Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing

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Figure

Figure 1: Estimated Yield Curve Decomposition: July 1990-December 2015
Table 1: GADTSM-Implied Expectations: Root Mean Square Error (RMSE) of the 1-Year Risk-Neutral Yield vis-` a-vis the Federal Funds Futures-Implied 1-Year Expectation
Table 2: GADTSM-Implied Expectations: Root Mean Square Error (RMSE) of the In-Sample Risk-Neutral Yields vis-` a-vis 6-Month and 1-Year Survey Expectations
Table 3: Event Set and Descriptions
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