Journal of Monetary Economics
Выпуск N8 за 2006 год
Опубликовано на портале: 17-12-2007Malin Andersson, Hans Dillén, Peter Sellin Journal of Monetary Economics. 2006. Vol. 53. No. 8. P. 1815-1855.
This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the repo rate. However, published inflation reports and speeches also have some impact on short rates. Speeches are found to be a more important determinant for the longer end of the term structure. Our conclusion is that central bank communication is an essential part of the conduct of monetary policy.