Monetary policy statements, treasury yields, and private yields: Before and after the zero lower bound

Michael Kiley

Finance Research Letters, 2016, vol. 18, issue C, 285-290

Abstract: Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing. We examine whether the effect of such actions on Treasury yields have passed through to private yields to a degree comparable to experience before 2008. We illustrate the possibility of misleading inference from least squares regressions, and our empirical results find evidence for such misleading effects. Implementation of our instrumental variables strategy suggests that the movements in Treasury yields induced by monetary policy statements have passed through to private yields, but to a smaller degree than typical prior to the end of 2008.

Keywords: Monetary policy; Treasury yields, Private yields (search for similar items in EconPapers)
JEL-codes: E52 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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Working Paper: Monetary policy statements, Treasury yields, and private yields: before and after the zero lower bound (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:285-290

DOI: 10.1016/j.frl.2016.04.029

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