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Monetary policy rules and the information content of the term structure of interest rates

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  • Ralf Fendel
  • Michael Frenkel

Abstract

The study incorporates information on the term structure of interest rates into empirical reaction functions for the Bundesbank and the European Central Bank. The results suggest that the term structure played a statistically significant role for the monetary policy of both central banks.

Suggested Citation

  • Ralf Fendel & Michael Frenkel, 2005. "Monetary policy rules and the information content of the term structure of interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 12(15), pages 933-936.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:15:p:933-936
    DOI: 10.1080/13504850500378049
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    References listed on IDEAS

    as
    1. Marvin Goodfriend, 1998. "Using the term structure of interest rates for monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 13-30.
    2. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998. "Monetary policy rules in practice Some international evidence," European Economic Review, Elsevier, vol. 42(6), pages 1033-1067, June.
    3. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
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    Cited by:

    1. Ralf Fendel, 2009. "A note on Taylor rules and the term structure," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1097-1101.
    2. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.

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