Why are Long Rates Sensitive to Monetary Policy?
Tore Ellingsen () and
Ulf Söderström ()
No 4360, CEPR Discussion Papers from C.E.P.R. Discussion Papers
We use a quantitative model of the US economy to analyse the response of long-term interest rates to monetary policy, and compare the model results with empirical evidence. We find that the model can explain the strong and time-varying yield curve response to monetary policy innovations found in the data. A key ingredient in explaining the yield curve response is central bank private information about the state of the economy or about its own target for inflation.
Keywords: central bank private information; excess sensitivity; term structure of interest rates; yield curve (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
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Working Paper: Why Are Long Rates Sensitive to Monetary Policy? (2004)
Working Paper: Why are Long Rates Sensitive to Monetary Policy (2004)
Working Paper: Why are long rates sensitive to monetary policy? (2004)
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