| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15270 |
| 来源ID | Working Paper 15270 |
| Monetary Policy Shifts and the Term Structure | |
| Andrew Ang; Jean Boivin; Sen Dong; Rudy Loo-Kung | |
| 发表日期 | 2009-08-20 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output gap has averaged around 0.4 and has not changed very much over time. The overall response of the yield curve to output gap components is relatively small. In contrast, the inflation loading has changed substantially over the last 50 years and ranges from close to zero in 2003 to a high of 2.4 in 1983. Long-term bonds are sensitive to inflation policy shifts with increases in inflation loadings leading to higher short rates and widening yield spreads. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w15270 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572944 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Jean Boivin,Sen Dong,et al. Monetary Policy Shifts and the Term Structure. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15270.pdf（373KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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