Monetary policy, bond risk premia, and the economy

Peter Ireland

Journal of Monetary Economics, 2015, vol. 76, issue C, 124-140

Abstract: Within an affine model of the term structure of interest rates, where bond yields get driven by observable and unobservable macroeconomic factors, parameter restrictions help identify the effects of monetary policy and other structural disturbances on output, inflation, and interest rates and decompose movements in long-term rates into terms attributable to changing expected future short rates versus risk premia. When estimated, the model highlights a broad range of channels through which monetary policy affects risk premia and the economy, risk premia affect monetary policy and the economy, and the economy affects monetary policy and risk premia.

Keywords: Bond risk premia; Monetary policy; Term structure of interest rates (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393215001117
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Monetary Policy, Bond Risk Premia, and the Economy (2015)
Working Paper: Monetary Policy, Bond Risk Premia, and the Economy (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:76:y:2015:i:c:p:124-140

DOI: 10.1016/j.jmoneco.2015.09.003

Access Statistics for this article

Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser

More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).