Arbeitspapier

Monetary policy regimes and the volatility of long-term interest rates

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale macroeconomic model and estimating it on U.S. and U.K. data, I show that the policy responses of a central bank that is uncertain about the natural rate of unemployment can explain this volatility puzzle. Second, the paper aims at shedding new light on the distinction between rules and discretion in monetary policy. My empirical results show that using yield curve data may facilitate the empirical discrimination between different monetary policy regimes and that U.S. monetary policy is best understood as originating from a discretionary regime since 1960.

Sprache
Englisch

Erschienen in
Series: Sveriges Riksbank Working Paper Series ; No. 220

Klassifikation
Wirtschaft
Bayesian Analysis: General
Estimation: General
Statistical Simulation Methods: General
Business Fluctuations; Cycles
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Interest Rates: Determination, Term Structure, and Effects
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Thema
long-term interest rates
optimal monetary policy
discretion
commitment
Bayesian estimation
Zins
Volatilität
Geldpolitik
Regelbindung
Diskretionäre Politik
Bayes-Statistik
Großbritannien
USA

Ereignis
Geistige Schöpfung
(wer)
Queijo von Heideken, Virginia
Ereignis
Veröffentlichung
(wer)
Sveriges Riksbank
(wo)
Stockholm
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Queijo von Heideken, Virginia
  • Sveriges Riksbank

Entstanden

  • 2008

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