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

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  • Rautureau, Nicolas

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.

Suggested Citation

  • Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Bank of Finland Research Discussion Papers 12/2004, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp2004_012
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    More about this item

    Keywords

    expectations hypothesis; monetary policy; changepoints;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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