Monetary policy and long-term real rates

• 成果类型: Article
• 署名作者: Hanson, Samuel G.; Stein, Jeremy C.
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.001
• 发表日期: 2015
• 页码: 429-448
• 关键词: Monetary policy transmission; Long-term real rates; Reaching-for-yield

摘要

Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the ten-year forward real rate. This finding is at odds with standard macro-models based on sticky nominal prices, which imply that monetary policy cannot move real rates over a horizon longer than that over which all prices in the economy can readjust. Instead, the responsiveness of long-term real rates to monetary shocks appears to reflect changes in term premia. One mechanism that could generate such variation in term premia is based on demand effects due to the existence of what we call yield-oriented investors. We find some evidence supportive of this channel. (C) 2014 Elsevier B.V. All rights reserved.