This study investigates the risk associated with the uncertainties in the central bank monetary policy targets in the context of short interest rate models. A class of models is proposed which admits two channels of interest rate risk. In a prototypical case, the short duration channel handles the uncertainties in the target rates decided in the forthcoming Federal Open Market Committee meetings. The target rate factors can be calibrated on the market values of the Fed funds futures. The long duration channel has traditional risk factors. The episodes following the Covid-19 outbreak and the 2022 rate hikes are used as examples in an empirical study.

中文翻译：

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短期利率模型中的目标利率因素

本研究研究了短期利率模型背景下与央行货币政策目标不确定性相关的风险。提出了一类模型，它承认两种利率风险渠道。在典型情况下，短期渠道可以处理即将举行的联邦公开市场委员会会议决定的目标利率的不确定性。目标利率因素可以根据联邦基金期货的市场价值进行校准。长期通道具有传统的风险因素。Covid-19 爆发和 2022 年加息之后的事件被用作实证研究的例子。