RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks
Equation (2)
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Δ
f
t
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=
α
0
+
∑
a
=
1
j
α
a
|
Δ
f
t
−
a
|
+
β
0
|
p
s
t
|
+
∑
b
=
1
k
β
b
|
n
e
w
s
b
,
t
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+
∑
c
=
0
m
γ
c
|
Δ
f
t
−
c
O
S
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+
∑
w
=
1
n
ϕ
w
c
o
m
w
,
t
+
∑
d
=
1
7
δ
d
O
t
h
e
r
d
,
t
+
ε
t
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