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.
- Language
-
Englisch
- Bibliographic citation
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Series: Sveriges Riksbank Working Paper Series ; No. 56
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
- Subject
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Monetary policy
term structure of interest
event studies
central bank private information
- Event
-
Geistige Schöpfung
- (who)
-
Ellingsen, Tore
Söderström, Ulf
- Event
-
Veröffentlichung
- (who)
-
Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
1998
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ellingsen, Tore
- Söderström, Ulf
- Sveriges Riksbank
Time of origin
- 1998
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