Monetary policy with signal extraction from the bond market

• 成果类型: Article
• 署名作者: Nimark, Kristoffer
• 署名单位: Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.09.004
• 发表日期: 2008
• 页码: 1389-1400
• 关键词: Monetary policy; imperfect information; Bond market; term structure of interest rates

摘要

Monetary policy is conducted in an environment Of uncertainty. This paper presents a model where the central bank uses real time data from the bond market together with standard macroeconomic indicators to infer the current state of the economy more efficiently, while taking into account that its own actions influence the bond market and therefore what it observes. That the central bank uses the information in the term structure to set policy creates a link between the bond market and the macroeconomy that is novel to the literature. The estimated model suggests that there is some information in US yields of maturities of less than I year that call help the Federal Reserve to identify shocks to the economy oil a timely basis. (C) 2008 Elsevier B.V. All rights reserved.