The Yield Curve Information Under Unconventional Monetary Policies

Damian Romero and Luis Ceballos

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper attempts to address the question of how unconventional monetary policies affected the market expectations in both the future paths of the monetary policy rate and economic growth implicit in interest rates in the period 2007-2013 for several developed and developing countries where these kind of policies were applied. The approach used in this paper is to compare the implicit expectations in the yield curve with market surveys and econometric models to see whether the first ones were affected. We conclude that in the period where unconventional monetary policies were applied, the yield curve provided relevant additional information to forecast the monetary policy rate and economic growth, especially in developed economies.

Date: 2014-07
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bcentral.cl/documents/33528/133326/DTBC_732.pdf (application/pdf)

Related works:
Journal Article: The Yield Curve Information under Unconventional Monetary Policies (2015)
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:chb:bcchwp:732

Access Statistics for this paper

More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Alvaro Castillo ().