Why are long rates sensitive to monetary policy?

Ulf Söderström () and Tore Ellingsen

No 31, Computing in Economics and Finance 2004 from Society for Computational Economics

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; expectations hypothesis; excess sensitivity (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (20)

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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:sce:scecf4:31

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