Arbeitspapier
Monetary policy and market interest rates
We investigate, theoretically and empirically, the relationship between monetary policy and the term structure of interest rates. In particular, we show in a dynamic macroeconomic model that if monetary policy reveals information about economic developments, interest rates of all maturities move in the same direction in response to a policy innovation. If, on the other hand, monetary policy reveals information about the central bank's policy preferences, short and long interest rates move in opposite directions. In the empirical section, we provide direct measures of endogenous and exogenous monetary policy innovations in the U.S. by analyzing the reaction of financial market participants to Federal Reserve policy moves. The empirical findings support the theoretical predictions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 56
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
- Thema
-
Monetary policy
term structure of interest
event studies
central bank private information
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ellingsen, Tore
Söderström, Ulf
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
1998
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ellingsen, Tore
- Söderström, Ulf
- Sveriges Riksbank
Entstanden
- 1998
Ähnliche Objekte (12)
Monetary policy regimes and the volatility of long-term interest rates
The monetary policy decision-making process and the term structure of interest rates
Monetary Policy and the Stock Market: Theory and Empirical Evidence
Monetary policy, interest rates and risk-taking
Evaluating monetary policy
Uncertainty about Length of the Monetary Policy Transmission Lag: Implications for Monetary Policy
Monetary policy when credibility matters
Monetary policy with uncertain parameters
The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European Central Bank: Conference on Monetary Policy Rules, Stockholm 12 - 12 June 1998
Monetary Policy Analysis in Backward-Looking Models
Inflation targeting as a monetary policy rule
Output gaps and robust monetary policy rules
Monetary policy regimes and the volatility of long-term interest rates
The monetary policy decision-making process and the term structure of interest rates
Monetary Policy and the Stock Market: Theory and Empirical Evidence
Monetary policy, interest rates and risk-taking
Evaluating monetary policy
Uncertainty about Length of the Monetary Policy Transmission Lag: Implications for Monetary Policy
Monetary policy when credibility matters
Monetary policy with uncertain parameters
The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European Central Bank: Conference on Monetary Policy Rules, Stockholm 12 - 12 June 1998
Monetary Policy Analysis in Backward-Looking Models
Inflation targeting as a monetary policy rule
Output gaps and robust monetary policy rules
Monetary policy regimes and the volatility of long-term interest rates
The monetary policy decision-making process and the term structure of interest rates
Monetary Policy and the Stock Market: Theory and Empirical Evidence
Monetary policy, interest rates and risk-taking
Evaluating monetary policy
Uncertainty about Length of the Monetary Policy Transmission Lag: Implications for Monetary Policy
Monetary policy when credibility matters
Monetary policy with uncertain parameters
The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European Central Bank: Conference on Monetary Policy Rules, Stockholm 12 - 12 June 1998
Monetary Policy Analysis in Backward-Looking Models
Inflation targeting as a monetary policy rule