Why Are Long Rates Sensitive to Monetary Policy?

Tore Ellingsen and Ulf Söderström ()

No 160, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: We use a quantitative model of the U.S. economy to analyze the response of long-term interest rates to monetary policy, and compare the model results with empirical evidence. We find that the strong and time-varying yield curve response to monetary policy innovations found in the data can be explained by the model. 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)
Pages: 38 pages
Date: 2004-04-01
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.riksbank.se/upload/WorkingPapers/WP_160.pdf (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0160

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