на главную поиск contacts

Monetary Policy Signaling and Movements in the Term Structure of Interest

Опубликовано на портале: 17-12-2007
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.

Аннотация статьи представлена на сайте ScienceDirect. Полный текст статьи находится в закрытом доступе

Препринт (полный текст) статьи размещен на сайте Sveriges Riksbank (Центральный банк Швеции)
Ключевые слова

См. также:
Paul D. Mizen, Mervyn K. Lewis
Bruce Preston
Journal of Monetary Economics. 2006.  Vol. 53. No. 3. P. 507-535. 
Giuseppe Ferrero
Journal of Economic Dynamics and Control. 2007.  Vol. 31. No. 9. P. 3006-3041. 
Pierre-Richard Agenor, Peter J. Montiel
Tommy Sveen, Lutz Weinke
Journal of Economic Theory. 2007.  Vol. 136. No. 1. P. 729-737. 
David Colander