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Measuring the long-term perception of monetary policy and the term structure

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  • Rautureau, Nicolas

    ()
    (Université de Nantes, Bank of Finland Research,)

Abstract

This paper has two objectives. The first is to identify the long-term public perception of monetary policy. The second is to identify the relationship between this perception and long-term bond rates. For German data, the use of a two-factor model of the term structure results in the best forecast of long-term interest rates for the period between January 1975 and January 2003. It also allows us to introduce as the second factor the long-term perception of inflation as a characteristic of the behaviour of monetary authorities.

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File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/0412.pdf
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Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 12/2004.

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Length: 46 pages
Date of creation: 14 Oct 2004
Date of revision:
Handle: RePEc:hhs:bofrdp:2004_012

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Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
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Related research

Keywords: expectations hypothesis; monetary policy; changepoints;

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Cited by:
  1. Mikko Puhakka, 2005. "Equilibrium dynamics under lump-sum taxation in an exchange economy with skewed endowments," Macroeconomics 0508033, EconWPA.
  2. Antti Suvanto & Juhana Hukkinen, 2005. "Stable price level and changing prices," Macroeconomics 0508034, EconWPA.
  3. Leitemo, Kai & Söderström, Ulf, 2008. "Robust Monetary Policy In The New Keynesian Framework," Macroeconomic Dynamics, Cambridge University Press, vol. 12(S1), pages 126-135, April.

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