TY  - JOUR
AU  - Lewis,Karen K.
TI  - Was There a "Peso Problem" in the U.S. Term Structure of Interest Rates:1979-1982?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3282
PY  - 1990
Y2  - March 1990
UR  - http://www.nber.org/papers/w3282
L1  - http://www.nber.org/papers/w3282.pdf
N1  - Author contact info:
Karen K. Lewis
Department of Finance, Wharton School
2300 SHDH
University of Pennsylvania
Philadelphia, PA 19104-6367
Tel: 215/898-7637
Fax: 215/898-6200
E-Mail: lewisk@wharton.upenn.edu
AB  - During the period following October 1979 through 1982, the U.S. Federal Reserve allowed interest rates to fluctuate widely, in contrast to its previous policy of targeting these rates in the 1970. The policy was abandoned in 1982 in favor of an operating procedure that reduced the variation in interest rates. This paper implements an estimation method to identify from the term structure of Eurodollar returns the market's beliefs that the Fed may revert to interest rate targeting. The model is not rejected and gives plausible estimates of the probability of a switch in monetary regimes. 
ER  -