Structure par terme et règle de politique monétaire

According to the economic theory, the manipulation of nominal short rates performed by onetary authorities is transferred at the real economic level through the term structure of interest rates. The failure of empirical approaches to validate the relation among rates with various maturities, and hence the transmission of monetary policy, questions the efficiency of the central banks interventions. One can however say that usual empirical tests of term structure should be regarded with caution. In these tests, the theoretical long rates to be compared with the historical ones are computed with respect to the expected short term rates which are in turn based only on the past interest rates. However, it is common to use monetary policy rules to model central banks action, by observing inflation and activity evolution. In order to address all these shortcomings, we try to reconcile the idea of monetary policy transmission to long rates, by applying a macroeconomic model and a Taylor monetary rule. Our analysis proceeds by presenting a simplified macroeconomic model for Germany from 1985 till 1998. Then, we simulate expected short rates series to deduct rates with longer maturity. The similarity between observed rates at various maturities and the results of simulations may help to test the relevance of expectations theory of interest rates term structure.