The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve

Yoosoon Chang (), Fabio Gómez-Rodríguez and Christian Matthes

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We investigate the influence of the U.S. government’s spending and taxation decisions, along with the monetary policy choices made by the Federal Reserve, on the dynamics of the nominal yield curve. Aggregate government spending moves the long end of the yield curve, whereas monetary policy and changes in taxation move the short end of the yield curve on impact. Disentangling different types of government spending, we find that only government consumption exerts a discernible influence on the short end of the yield curve. The effects are generally transient and disappear after one year.

Keywords: yield curve; fiscal policy; monetary policy; functional time series (search for similar items in EconPapers)
JEL-codes: E50 E62 G10 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2023-12
New Economics Papers: this item is included in nep-ban and nep-mon
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https://cama.crawford.anu.edu.au/sites/default/fil ... odriguez_matthes.pdf

Related works:
Working Paper: The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve (2024)
Working Paper: The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2023-65

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