Why are Long Rates Sensitive to Monetary Policy?

Tore Ellingsen and Söderström, Ulf
Authors registered in the RePEc Author Service: Ulf Söderström ()

No 4360, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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: Term structure of interest rates; Yield curve; Central bank private information; Excess sensitivity (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2004-04
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (20)

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Related works:
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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