(Un)expected Monetary Policy Shocks and Term Premia

Martin Kliem and Alexander Meyer-Gohde

No 102, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: Central banks are relying increasingly on multiple instruments when implementing monetary policy. This presents empirical analyses of the effects of monetary policy shocks with an ongoing identification challenge. We provide a structural, quantitatively reasonable model of the interaction between monetary policy and the term structure of interest rates to address this. Our model shows that the effects of monetary policy shocks on term premia depend crucially on whether they contain news about future monetary policy. This structural interpretation provides a plausible explanation for the discrepancy in the existing empirical literature.

Date: 2018
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: (Un)expected monetary policy shocks and term premia (2022)
Working Paper: (Un)expected monetary policy shocks and term premia (2019)
Working Paper: (Un)expected monetary policy shocks and term premia (2017)
Working Paper: (Un)expected Monetary Policy Shocks and Term Premia (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:102

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