Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates

Malin Andersson (), Hans Dillén () and Peter Sellin ()
Additional contact information
Malin Andersson: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Hans Dillén: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Peter Sellin: Monetary Policy Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden

No 132, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the repo rate, while speeches is a more important determinant for the longer interest rates. Hence, we conclude that central bank communication is an essential part of the conduct of monetary policy.

Keywords: Monetary policy signaling; central bank communication; the term structure of interest rates (search for similar items in EconPapers)
JEL-codes: E43 E44 E58 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2001-12-01, Revised 2004-01-01
New Economics Papers: this item is included in nep-cba and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Forthcoming in Journal of Monetary Economics.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0132

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