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

  • Rautureau, Nicolas


    (Université de Nantes, Bank of Finland Research,)

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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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
Contact details of provider: Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
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  28. Gerberding, Christina, 2001. "The information content of survey data on expected price developments for monetary policy," Discussion Paper Series 1: Economic Studies 2001,09, Deutsche Bundesbank, Research Centre.
  29. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
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