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)
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)
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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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