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Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates

Author

Listed:
  • Andersson, Malin

    (Monetary Policy Department, Central Bank of Sweden)

  • Dillén, Hans

    (Monetary Policy Department, Central Bank of Sweden)

  • Sellin, Peter

    (Monetary Policy Department, Central Bank of Sweden)

Abstract

This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the repo rate, while speeches is a more important determinant for the longer interest rates. Hence, we conclude that central bank communication is an essential part of the conduct of monetary policy.

Suggested Citation

  • Andersson, Malin & Dillén, Hans & Sellin, Peter, 2001. "Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates," Working Paper Series 132, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jan 2004.
    • Handle: RePEc:hhs:rbnkwp:0132
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    File URL: http://www.riksbank.com/upload/Dokument_riksbank/Kat_foa/wp_132.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Michael J. Lamla & Sarah M. Rupprecht, 2006. "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers 06-135, KOF Swiss Economic Institute, ETH Zurich.

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    More about this item

    Keywords

    Monetary policy signaling; central bank communication; the term structure of interest rates;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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