EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:31

Access Statistics for this paper

More papers in Computing in Economics and Finance 2004 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2019-05-27
Handle: RePEc:sce:scecf4:31