The yield curve in a small open economy

• 成果类型: Article
• 署名作者: Kulish, Mariano; Rees, Daniel
• 署名单位: Reserve Bank of Australia
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2011.06.006
• 发表日期: 2011
• 页码: 268-279
• 关键词: Yield curve; UIP; Small open economy; monetary policy; Bayesian estimation

摘要

Long-term nominal interest rates in a number of inflation-targeting small open economies have tended to be strongly correlated with those of the United States. This observation has recently led support to the view that, in these economies, the long-end of the yield curve has decoupled from its short-end and naturally to a concern that monetary policy may have lost some of its autonomy. We set up and estimate a two-country small open economy model in which the expectations hypothesis and uncovered interest rate parity hold to study the co-movement of long-term nominal interest rates of different currencies. We show that differences in the persistence of domestic and foreign disturbances, a hypothesis for which we find support in recent data, can explain the observed pattern of correlations. These correlations are not evidence of weaker monetary policy. (C) 2011 Elsevier B.V. All rights reserved.