Monetary policy surprises and their transmission through term premia and expected interest rates

• 成果类型: Article
• 署名作者: Kaminska, Iryna; Mumtaz, Haroon; Sustek, Roman
• 署名单位: Bank of England; University of London; Queen Mary University London
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.07.009
• 发表日期: 2021
• 页码: 48-65
• 关键词: High-frequency data; Affine term structure model; Estimation bias; Multidimensional policy shocks; monetary policy transmission

摘要

Monetary policy moves the yield curve. What is the economic interpretation of such moves and what are their macroeconomic consequences? Applying an affine term structure model to high-frequency yield curve movements around FOMC announcements, we shed new light on these questions. Estimation is subject to restrictions addressing estimation bias in previous studies. By imposing additional structure, expectations and term premia are decomposed into three components interpreted as monetary policy action, expected path and its uncertainty. In a local projections model, the shocks identified by the three components provide insights into monetary policy transmission in the context of existing theories. (c) 2021 Bank of England and the Author(s). Published by Elsevier B.V. All rights reserved.