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On the informational role of term structure in the U.S. monetary policy rule

Author

Listed:
  • Jesús Vázquez

    (Universidad del País Vasco)

  • Ramón María-Dolores

    (Universidad de Murcia)

  • Juan-Miguel Londoño

    (Universidad del País Vasco)

Abstract

The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.

Suggested Citation

  • Jesús Vázquez & Ramón María-Dolores & Juan-Miguel Londoño, 2009. "On the informational role of term structure in the U.S. monetary policy rule," Working Papers 0919, Banco de España.
    • Handle: RePEc:bde:wpaper:0919
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    File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/09/Fic/dt0919e.pdf
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    Cited by:

    1. is not listed on IDEAS
    2. Vázquez, Jesús, 2025. "Misaligned expectations and bond term premium measures," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    3. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
    4. Hwang, Youngjin, 2025. "Information content in yield curve dynamics: Implications for monetary policy," Journal of Macroeconomics, Elsevier, vol. 83(C).
    5. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).

    More about this item

    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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