Monetary policy signaling and movements in the term structure of interest rates

• 成果类型: Article
• 署名作者: Andersson, Malin; Dlllen, Hans; Sellin, Peter
• 署名单位: Sveriges Riksbank; European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.06.002
• 发表日期: 2006
• 页码: 1545-1585
• 关键词: monetary policy signaling; Central bank communication; term structure of interest rates

摘要

This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the repo rate. However, published inflation reports and speeches also have some impact on short rates. Speeches are found to be a more important determinant for the longer end of the term structure. Our conclusion is that central bank communication is an essential part of the conduct of monetary policy. (c) 2006 Elsevier B.V. All rights reserved.