| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP1502
|
| DP1502 Multilateral Disciplines on Government Procurement: What's In It For Developing Countries? |
| [unavailable]
|
| 发表日期 | 1996-10-31
|
| 出版年 | 1996
|
| 语种 | 英语
|
| 摘要 | In this paper we analyse the impact of monetary policy shocks on the term structure of interest rates in US and Germany. We estimate the term structure of spot rates and of the instantaneous forward rate following the methodology proposed by Svensson(1994). We interpret the instantaneous forward rate as the expectations for the overnight rate prevailing at each point in the future. Exploiting the fact that intervention on policy rates take place in occasion of regular meetings of the FOMC in the US and of the Bundesbank Council in Germany, we estimate the term structure of spot rates and of instantaneous forward rates the day before and the day after regular meetings. From the estimation of the term structures before meetings we derive a measure of expectations for Central Banks interventions. On this basis we can assess the predictability of monetary policy under the null of the validity of the pure expectational model. We perform this exercise both by regression analysis and by the implementation of a non-parametric test proposed by Pesaran and Timmermann(1990). We then proceed to derive a measure of policy shocks by using information on the effective intervention. Such measure of policy shocks is available both for dates in which some intervention was effectively implemented by Central Banks and for dates in which a policy of no intervention was decided. Finally, we evaluate the impact of monetary policy on the term structure of interest rates by regressing the change in the yield curve between the day before and the day after meetings on expected and unexpected modification in policy rates. We conduct such exercise for the US and Germany over the period 1991-1995 to evaluate the sign and the magnitude of the response of the term structures in the two countries to expected and unexpected modifications in monetary policy. |
| 主题 | International Macroeconomics
|
| 关键词 | Expectations
Institutional forces
monetary policy
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| URL | https://cepr.org/publications/dp1502
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530641
|
推荐引用方式
GB/T 7714 |
[unavailable]. DP1502 Multilateral Disciplines on Government Procurement: What's In It For Developing Countries?. 1996.
|
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