In this paper, we apply a novel econometric approach joint with an exhaustive revision of the main events in the history of US monetary policy in order to check the effectiveness of monetary policy focused on interest rates. Unlike the traditional cointegration approach, this new methodology allows us to break with the rigidity of traditional approaches in favour of letting the series be cointegrated, and the spread is able to follow a long-memory process; i.e., it does not necessarily need to be I(0) and also rejects the assumption that interest rates could follow the dichotomy I(0)/I(1). To the best of our knowledge, this is one of the first applications of the Fractionally Cointegrated Vector Autoregressive (FCVAR) model (Johansen and Nielsen (2012) and Nielsen and Popiel (2016)). Aiming to achieve this goal, we use two databases, i.e., the Jordà-Schularick-Taylor Macrohistory Database and Shiller’s database. Our results cannot reject the Expectations Hypothesis of Term Structure in this time period, and more importantly, we also find that the long-term rate drives the long-run relationship, contributing to the total proportion to the common trend; the persistence of the spread shows us effective control power over interest rates by the Fed.

在本文中，我们采用新颖的计量经济学方法，对美国货币政策历史上的主要事件进行了详尽的修订，以检查关注利率的货币政策的有效性。与传统的协整方法不同，这种新方法使我们能够打破传统方法的僵硬之处，而希望让该系列能够协整，并且传播能够遵循一个长记忆的过程。也就是说，它不一定需要为I（0），并且也拒绝利率可以遵循二分法I（0）/ I的假设。（1）。据我们所知，这是分数协整矢量自回归（FCVAR）模型的首次应用之一（Johansen和Nielsen（2012）以及Nielsen和Popiel（2016））。为了实现此目标，我们使用了两个数据库，即Jordà-Schularick-Taylor宏观历史数据库和Shiller的数据库。我们的结果不能拒绝这个时期的期限结构的预期假说，更重要的是，我们还发现长期利率驱动长期关系，在总趋势中占总比重。价差的持续性向我们展示了美联储对利率的有效控制权。