Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve

Ales Bulir and Jan Vlcek

No 2020/004, IMF Working Papers from International Monetary Fund

Abstract: Does monetary policy react systematically to macroeconomic innovations? In a sample of 16 countries – operating under various monetary regimes – we find that monetary policy decisions, as expressed in yield curve movements, do react to macroeconomic innovations and these reactions reflect the monetary policy regime. While we find evidence of the primacy of the price stability objective in the inflation targeting countries, links to inflation and the output gap are generally weaker and less systematic in money-targeting and multiple-objective countries.

Keywords: WP; rate; interest rate; Nelson-Siegel yield curve model; inflation expectation; yield curve movement; Monetary transmission; yield curve; rule-based monetary policy; inflation-targeting country; monetary policy innovation; monetary policy decision; inflation stabilization; Inflation; Exchange rates; Inflation targeting; Central bank policy rate; Sub-Saharan Africa; Africa; Global (search for similar items in EconPapers)
Pages: 36
Date: 2020-01-17
New Economics Papers: this item is included in nep-mac and nep-mon
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Related works:
Journal Article: Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve (2023)
Working Paper: Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve (2019)
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