Euler equations and money market interest rates: A challenge for monetary policy models

• 成果类型: Article
• 署名作者: Canzoneri, Matthew B.; Cumby, Robert E.; Diba, Behzad T.
• 署名单位: Georgetown University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.09.001
• 发表日期: 2007
• 页码: 1863-1881
• 关键词: interest rate spreads; monetary policy

摘要

Standard macroeconomic models equate the money market rate targeted by the central bank with the interest rate implied by a consumption Euler equation. We use U.S. data to calculate the interest rates implied by Euler equations derived from a number of specifications of household preferences. Correlations between these Euler equation rates and the Federal Funds rate are generally negative. Regression results and impulse response functions imply that the spreads between the Euler equation rates and the Federal Funds rate are systematically linked to the stance of monetary policy. Our findings pose a fundamental challenge for models that equate the two. (c) 2006 Elsevier B.V. All rights reserved.