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Why are Long Rates Sensitive to Monetary Policy

Tore Ellingsen () and Ulf Söderström ()

No 256, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

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 ?nd 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 in?ation.

New Economics Papers: this item is included in nep-mac and nep-mon
Date: 2004
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Working Paper: Why are Long Rates Sensitive to Monetary Policy? (2004) Downloads
Working Paper: Why Are Long Rates Sensitive to Monetary Policy? (2004) Downloads
Working Paper: Why are long rates sensitive to monetary policy? (2004)
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