Estimates of canonical affine term structure model parameters are highly
sensitive to sample periods. For example, depending on whether the sample
starts in 1961 or 1981, the 5-5 forward risk-neutral rate for September 1981
differs by 4.6 percentage points or 98% of the latter. The estimated response of
this rate to high-frequency monetary policy shocks differs by a factor of three,
even within a fixed sample for the monetary policy transmission regression. We
suggest that a shifting endpoint model can mitigate these issues. Additionally,
we provide new estimates of the effects of monetary policy shocks on long-term
risk-neutral rates.
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