Monetary Policy and the Fisher Effect

Paul Söderlind

No 159, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: Historical estimates of the informational content in the yield curve may not be relevant after a change in monetary policy. This study uses a small dynamic rational expectations model with staggered price setting to study how monetary policy affects the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters, including the Fed's loss function parameters, are estimated by maximum likelihood on quarterly U.S. data. The policy experiments include stronger inflation targeting and more active monetary policy.

Keywords: Optimal monetary policy; inflation expectations; forward interest rates; Kalman filter estimation (search for similar items in EconPapers)
JEL-codes: E31 E43 E52 (search for similar items in EconPapers)
Pages: 5 pages
Date: 1997-02, Revised 1999-03-04
Note: Revised and shortened version of Working Paper No. 159
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Citations: View citations in EconPapers (2)

Published in Journal of Policy Modeling, 2001, pages 491-495.

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Journal Article: Monetary policy and the Fisher effect (2001)
Working Paper: Monetary Policy and the Fisher Effect (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0159

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