Real and nominal effects of central bank monetary policy

• 成果类型: Article
• 署名作者: Kahn, M; Kandel, S; Sarig, O
• 署名单位: Reichman University; University of Pennsylvania; Tel Aviv University; Bank of Israel
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(02)00179-4
• 发表日期: 2002
• 页码: 1493-1519
• 关键词: Monetary policy; Real interest rates; Inflation expectations

摘要

We examine the impact of monetary policy using Israeli data on nominal and indexed bonds, which allow us to decompose nominal interest rates into inflation expectations and ex ante real interest rates. We find that a monetary policy shock, introduced by raising the overnight rate the Bank of Israel charges member banks, raises real interest rates but lowers inflation expectations. Long-term real interest rates are less impacted than short-term rates. Lastly, monetary shocks affect the exchange rate between the Israeli currency and the US dollar. Our estimates are robust to numerous modifications to the basic VAR model. (C) 2002 Elsevier Science B.V. All rights reserved.