This paper investigates empirical relations between the federal funds rate/federal funds future rate and long-run market interest rates, employing a cointegration technique, vector error-correction modeling, and the Granger causality test developed by Toda and Yamamoto (1995). As a result, stable long-run relationships between the federal funds rate and Treasury bond rates are identified in the form of bidirectional causalities that are supportive of the Structuralist position, while the findings indicate unidirectional causalities from the federal funds rate to the Treasury bond rates in the short run. Empirical evidence in this paper also rejects the Horizontalist view that the expected future federal funds rate is relevant to current movements of the long-run interest rates, demonstrating Moore (1991) and his followers' reverse interpretation on the causality from market rates to the federal funds rate to be inaccurate. An implication of such findings is that the current and the expected future federal funds rate do not have as much exogenous power on long-run market rates as claimed by Horizontalists, and the federal funds rate is, rather, endogenous to market rates for the 2004:2–2008:8 period.

中文翻译：

---

联邦基金利率与长期市场利率之间的利率因果关系

本文采用协整技术、向量误差校正模型以及 Toda 和 Yamamoto (1995) 开发的格兰杰因果检验，研究了联邦基金利率/联邦基金未来利率与长期市场利率之间的实证关系。因此，联邦基金利率和国债利率之间稳定的长期关系以支持结构主义立场的双向因果关系的形式被确定，而研究结果表明从联邦基金利率到国债利率的单向因果关系从短期看。本文中的实证证据也拒绝了横向主义的观点，即预期的未来联邦基金利率与当前的长期利率变动相关，证明 Moore (1991) 及其追随者的 从市场利率到联邦基金利率的因果关系的反向解释是不准确的。这些发现的一个含义是，当前和预期的未来联邦基金利率对长期市场利率的外生影响没有横向主义者声称的那么大，而联邦基金利率对 2004 :2-2008:8 期间。