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Term structure transmission of monetary policy

  • Sharon Kozicki
  • Peter A. Tinsley

The sensitivity of bond rates to macro variables appears to vary both over time and over forecast horizons. The latter may be due to differences in forward rate term premiums and in bond trader perceptions of anticipated policy responses at different forecast horizons. Determinacy of policy transmission through bond rates requires a lower bound on the average responsiveness of term premiums and anticipated policy responses to inflation.

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Paper provided by Federal Reserve Bank of Kansas City in its series Research Working Paper with number RWP 05-06.

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Date of creation: 2005
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Handle: RePEc:fip:fedkrw:rwp05-06
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