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

Nicolas Rautureau

No 12/2004, Bank of Finland Research Discussion Papers from Bank of Finland

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.

Keywords: expectations hypothesis; monetary policy; changepoints (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofrdp:rdp2004_012

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