Why are Long Rates Sensitive to Monetary Policy?
AbstractWe use a quantitative model of the US economy to analyse the response of long-term interest rates to monetary policy, and compare the model results with empirical evidence. We find that the model can explain the strong and time-varying yield curve response to monetary policy innovations found in the data. A key ingredient in explaining the yield curve response is central bank private information about the state of the economy or about its own target for inflation.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4360.
Date of creation: Apr 2004
Date of revision:
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Other versions of this item:
- Ellingsen, Tore & Söderström, Ulf, 2004. "Why Are Long Rates Sensitive to Monetary Policy?," Working Paper Series 160, Sveriges Riksbank (Central Bank of Sweden).
- Tore Ellingsen & Ulf Soderstrom, 2004. "Why are Long Rates Sensitive to Monetary Policy," Working Papers 256, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Ulf Soderstrom & Tore Ellingsen, 2004. "Why are long rates sensitive to monetary policy?," Computing in Economics and Finance 2004 31, Society for Computational Economics.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-13 (All new papers)
- NEP-MAC-2004-06-13 (Macroeconomics)
- NEP-MON-2004-06-13 (Monetary Economics)
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