The Fed, the Bond Market, and Gradualism in Monetary Policy

• 成果类型: Article
• 署名作者: Stein, Jeremy C.; Sunderam, Adi
• 署名单位: Harvard University; Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12614
• 发表日期: 2018
• 页码: 1015-1060
• 关键词: transmission; DISCRETION; rules; MODEL; say

摘要

We develop a model of monetary policy with two key features: the central bank has private information about its long-run target rate and is averse to bond market volatility. In this setting, the central bank gradually impounds changes in its target into the policy rate. Such gradualism represents an attempt to not spook the bond market. However, this effort is partially undone in equilibrium, as markets rationally react more to a given move when the central bank moves more gradually. This time-consistency problem means that society would be better off if the central bank cared less about the bond market.