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Monetary policy and the term structure of nominal interest rates: Evidence and theory

Citations

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Cited by:

  1. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  2. Evans, Charles L. & Marshall, David A., 2007. "Economic determinants of the nominal treasury yield curve," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1986-2003, October.
  3. George J. Hall & Stefan Krieger, 2000. "Tax Smoothing Implications of the Federal Debt Paydown," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 31(2), pages 253-302.
  4. Boyan Jovanovic & Peter L. Rousseau, 2001. "Liquidity effects in the bond market," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q IV), pages 17-35.
  5. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  6. Kevin D. Hoover & Òscar Jordà, 2001. "Measuring systematic monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 113-144.
  7. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
  8. Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
  9. Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  10. Huh, Chan G. & Lansing, Kevin J., 2000. "Expectations, credibility, and disinflation in a small macroeconomic model," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 51-86.
  11. Agata Wierzbowska, 2015. "Financial markets in CEE countries and their role in transmission of euro area monetary policy shocks," European Journal of Business and Economics, Central Bohemia University, vol. 10(2), pages 7321:10-732, January.
  12. Wu, Tao, 2006. "Macro Factors and the Affine Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1847-1875, October.
  13. Piazzesi, Monika & Swanson, Eric T., 2008. "Futures prices as risk-adjusted forecasts of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
  14. repec:zbw:bofrdp:2006_025 is not listed on IDEAS
  15. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
  16. Braun, R. Anton & Shioji, Etsuro, 2006. "Monetary Policy and the Term Structure of Interest Rates in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 141-162, February.
  17. Drakos, Konstantinos, 2001. "Monetary policy and the yield curve in an emerging market: the Greek case," Emerging Markets Review, Elsevier, vol. 2(3), pages 244-262, September.
  18. Tao Wu, 2003. "Stylized facts on nominal term structure and business cycles: an empirical VAR study," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 901-906.
  19. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462, May.
  20. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
  21. Garriga, Carlos & Kydland, Finn E. & Šustek, Roman, 2021. "MoNK: Mortgages in a New-Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
  22. Vereda, Luciano & Lopes, Hélio & Fukuda, Regina, 2008. "Estimating VAR models for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 548-559, April.
  23. Andersson, Malin & Dillen, Hans & Sellin, Peter, 2006. "Monetary policy signaling and movements in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1815-1855, November.
  24. Ellingsen, Tore & Söderström, Ulf, 2004. "Why Are Long Rates Sensitive to Monetary Policy?," Working Paper Series 160, Sveriges Riksbank (Central Bank of Sweden).
  25. Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
  26. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model," Bank of Japan Working Paper Series 04-E-11, Bank of Japan.
  27. S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch, 2003. "The macroeconomy and the yield curve: a nonstructural analysis," Working Paper Series 2003-18, Federal Reserve Bank of San Francisco.
  28. Ronald Lange, 2005. "Determinants of the long-term yield in Canada: an open economy VAR approach," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 681-693.
  29. Josué Cortés Espada & Carlos Capistrán & Manuel Ramos-Francia & Alberto Torres, 2009. "An empirical analysis of the mexican term structure of interest rates," Economics Bulletin, AccessEcon, vol. 29(3), pages 2300-2313.
  30. Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
  31. Choi, Chi-Young & Chudik, Alexander, 2019. "Estimating impulse response functions when the shock series is observed," Economics Letters, Elsevier, vol. 180(C), pages 71-75.
  32. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  33. Carlo A. Favero & Stefano W. Giglio, 2006. "Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods," Working Papers 312, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  34. Andersson, Malin & Dillén, Hans & Sellin, Peter, 2001. "Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates," Working Paper Series 132, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jan 2004.
  35. Daniel L. Thornton, 2007. "The daily and policy-relevant liquidity effects," Working Papers 2007-001, Federal Reserve Bank of St. Louis.
  36. Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," Working Paper 2010/01, Norges Bank.
  37. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2000. "Money, Interest Rates, and Exchange Rates with Endogenously Segmented Asset Markets," NBER Working Papers 7871, National Bureau of Economic Research, Inc.
  38. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
  39. Kyungho Jang, 2013. "Alternative Maximum Likelihood Estimation of Structural Vector Autoregressive Models Partially Identified with Short‐Run Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2‐3), pages 465-476, March.
  40. Rudra Sensarma & Indranil Bhattacharyya, 2016. "Measuring monetary policy and its impact on the bond market of an emerging economy," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(2), pages 109-130, July.
  41. D H Kim, 2003. "Another Look at Yield Spreads: The Role of Liquidity," Economics Discussion Paper Series 0306, Economics, The University of Manchester.
  42. Lange, Ronald H., 2014. "The small open macroeconomy and the yield curve: A state-space representation," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 1-21.
  43. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
  44. Júlio Cesar Albuquerque Bastos & Gabriel Caldas Montes, 2011. "Metasde Inflação E Estrutura A Termo Das Taxas De Juros - Uma Análise Dainfluência Da Credibilidade Sobre O Spread Da Taxa De Juros De Longoprazo No Brasil," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  45. Hibiki Ichiue, 2005. "How Do Monetary Policy Rules Affect Term Premia?," Bank of Japan Working Paper Series 05-E-14, Bank of Japan.
  46. James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October.
  47. Lassaâd Mbarek & Hardik A. Marfatia & Sonja Juko, 2018. "Time-varying Response of Treasury Yields to Monetary Policy Shocks: Evidence from the Tunisian Bond Market," Working Papers 1243, Economic Research Forum, revised 23 Oct 2018.
  48. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  49. Antulio N. Bomfim, 2003. "Monetary policy and the yield curve," Finance and Economics Discussion Series 2003-15, Board of Governors of the Federal Reserve System (U.S.).
  50. Mr. Calixte Ahokpossi & Pilar Garcia Martinez & Laurent Kemoe, 2016. "Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco," IMF Working Papers 2016/103, International Monetary Fund.
  51. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers 25/2006, Bank of Finland.
  52. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  53. David A. Marshall, 2001. "The crisis of 1998 and the role of the central bank," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q I), pages 2-23.
  54. Caldas M., Gabriel, 2012. "Financial market reaction to central bank monetary policy communications under an inflation- targeting regime: the case of Brazil," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
  55. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
  56. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
  57. Jordà, Òscar & Schularick, Moritz & Taylor, Alan M., 2015. "Betting the house," Journal of International Economics, Elsevier, vol. 96(S1), pages 2-18.
  58. Richard K. Lyons, 2002. "Foreign exchange: macro puzzles, micro tools," Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
  59. Malin Andersson & Hans Dillén & Peter Sellin, 2002. "Monetary policy signalling and movements in the Swedish term structure of interest rates," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 268-297, Bank for International Settlements.
  60. Marco Taboga, 2009. "Macro‐finance VARs and bond risk premia: A caveat," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 163-171, October.
  61. Jongrim Ha & Inhwan So, 2017. "Which Monetary Shocks Matter in Small Open Economies? Evidence from SVARs," Working Papers 2017-2, Economic Research Institute, Bank of Korea.
  62. Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003. "International Policy Rate Changes and Dublin Interbank Offer Rates," Research Technical Papers 8/RT/03, Central Bank of Ireland.
  63. Lucio Sarno & Daniel L. Thornton, 2004. "The efficient market hypothesis and identification in structural VARs," Review, Federal Reserve Bank of St. Louis, vol. 86(Jan), pages 49-60.
  64. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
  65. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
  66. Stefania D’Amico & William English & David López‐Salido & Edward Nelson, 2012. "The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, Royal Economic Society, vol. 122(564), pages 415-446, November.
  67. Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
  68. Hakan Berument & Richard T. Froyen, 2015. "Monetary policy and interest rates under inflation targeting in Australia and New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 49(2), pages 171-188, August.
  69. Lucio Sarno & Daniel L. Thornton & Yi Wen, 2007. "What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 293-319, April.
  70. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  71. Mariano Kulish & Daniel Rees, 2008. "Monetary Transmission and the Yield Curve in a Small Open Economy," RBA Research Discussion Papers rdp2008-03, Reserve Bank of Australia.
  72. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
  73. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2002. "Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 73-112, February.
  74. Roel Beetsma & Alessandro Bucciol, 2011. "Differentiating Indexation in Dutch Pension Funds," De Economist, Springer, vol. 159(3), pages 323-360, September.
  75. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
  76. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
  77. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472, National Bureau of Economic Research, Inc.
  78. Lanne, Markku & Lütkepohl, Helmut, 2010. "Structural Vector Autoregressions With Nonnormal Residuals," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 159-168.
  79. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(2), pages 7-49, September.
  80. Mr. Rajan Goyal & Mr. K. Kanagasabapathy, 2002. "Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy," IMF Working Papers 2002/091, International Monetary Fund.
  81. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
  82. Martin Schneider & Gerhard Fenz, 2011. "Transmission of business cycle shocks between the US and the euro area," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2777-2793.
  83. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
  84. Oscar Jorda & Kevin Salyer, 2003. "The Response of Term Rates to Monetary Policy Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 941-962, October.
  85. Juha Seppala & Federico Ravenna, 2005. "Monetary Policy and the Term Structure of Interest Rates," 2005 Meeting Papers 804, Society for Economic Dynamics.
  86. Yuzo Honda, 2014. "The Effectiveness of Nontraditional Monetary Policy: The Case of Japan," The Japanese Economic Review, Japanese Economic Association, vol. 65(1), pages 1-23, March.
  87. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.
  88. Oscar Jorda, 2003. "Model-Free Impulse Responses," Working Papers 38, University of California, Davis, Department of Economics.
  89. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Bank of Finland Research Discussion Papers 18/2007, Bank of Finland.
  90. Spencer, Peter & Liu, Zhuoshi, 2010. "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 667-680, March.
  91. Shu Wu, 2008. "Monetary Policy And Long‐Term Interest Rates," Contemporary Economic Policy, Western Economic Association International, vol. 26(3), pages 398-408, July.
  92. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.
  93. Andrea Ajello & Luca Benzoni & Olena Chyruk & Stijn Van Nieuwerburgh, 2020. "Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3719-3765.
  94. Chung, Kyuil, 2009. "Does the liquidity effect guarantee a positive term premium?," Economic Modelling, Elsevier, vol. 26(5), pages 893-903, September.
  95. David Beckworth & Kenneth P. Moon & J. Holland Toles, 2012. "Can Monetary Policy Influence Long-Term Interest Rates? It Depends," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 1080-1096, October.
  96. Alessandro Bucciol & Roel M.W.J. Beetsma, 2010. "Inter- and Intra-generational Consequences of Pension Buffer Policy under Demographic, Financial, and Economic Shocks," CESifo Economic Studies, CESifo Group, vol. 56(3), pages 366-403, September.
  97. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
  98. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
  99. Shigeru Iwata, 2010. "Monetary Policy and the Term Structure of Interest Rates When Short-Term Rates Are Close to Zero," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 28, pages 59-78, November.
  100. Sanjay Singh & Neeraj Hatekar, 2018. "Macroeconomic shocks and evolution of term structure of interest rate: A dynamic latent factor approach," Indian Economic Review, Springer, vol. 53(1), pages 245-262, December.
  101. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  102. Luciano Vereda & Hélio Lopes & Jessica Kubrusly & Adrian Pizzinga & Taofik Mohammed Ibrahim, 2014. "Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 377-393.
  103. Berument, Hakan & Froyen, Richard T., 2006. "Monetary policy and long-term US interest rates," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 737-751, December.
  104. Esposito, Lucia & Nobili, Andrea & Ropele, Tiziano, 2015. "The management of interest rate risk during the crisis: Evidence from Italian banks," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 486-504.
  105. Kevin D. Hoover & Òscar Jordà, 2001. "Measuring systematic monetary policy," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 113-144.
  106. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.
  107. Ronald H. Lange, 2013. "Monetary policy reactions and the exchange rate: a regime-switching structural VAR for Canada," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(5), pages 612-632, September.
  108. Stephen P Millard & Simon J Wells, 2003. "The role of asset prices in transmitting monetary and other shocks," Bank of England working papers 188, Bank of England.
  109. Tor Einarsson & Milton H. Marquis, 2002. "Banks, bonds, and the liquidity effect," Economic Review, Federal Reserve Bank of San Francisco, pages 35-50.
  110. Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
  111. repec:onb:oenbwp:y::i:93:b:1 is not listed on IDEAS
  112. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 151, European Central Bank.
  113. Beenstock, Michael & Ilek, Alex, 2010. "Wicksell's Classical Dichotomy: Is the natural rate of interest independent of the money rate of interest?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 366-377, March.
  114. Levant, Jared & Ma, Jun, 2017. "A dynamic Nelson-Siegel yield curve model with Markov switching," Economic Modelling, Elsevier, vol. 67(C), pages 73-87.
  115. Thornton, Daniel L., 2001. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1717-1739, September.
  116. Berument, Hakan & Froyen, Richard, 2009. "Monetary policy and U.S. long-term interest rates: How close are the linkages?," Journal of Economics and Business, Elsevier, vol. 61(1), pages 34-50.
  117. Harrathi Nizar & Alhoshan Hamed M., 2020. "Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, vol. 16(1), pages 1-18, April.
  118. Masahiko Shibamoto, 2016. "Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market," Discussion Paper Series DP2016-19, Research Institute for Economics & Business Administration, Kobe University.
  119. Iryna Kaminska, 2013. "A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 680-704, October.
  120. Papadamou, Stephanos, 2013. "Market anticipation of monetary policy actions and interest rate transmission to US Treasury market rates," Economic Modelling, Elsevier, vol. 33(C), pages 545-551.
  121. Andrés, Javier & López-Salido, J David & Nelson, Edward, 2004. "Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium," CEPR Discussion Papers 4336, C.E.P.R. Discussion Papers.
  122. Thórarinn G. Pétursson, 2001. "The transmission mechanism of monetary policy: Analysing the financial market pass-through," Economics wp14_thorarinn, Department of Economics, Central bank of Iceland.
  123. Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
  124. K. Raabe & I. Arnold & C.J.M. Kool, 2006. "Firm Size and Monetary Policy Transmission: A Theoretical Model on the Role of Capital Investment Expenditures," Working Papers 06-14, Utrecht School of Economics.
  125. Peersman, Gert, 2002. "Monetary policy and long term interest rates in Germany," Economics Letters, Elsevier, vol. 77(2), pages 271-277, October.
  126. Fan, Longzhen & Johansson, Anders C., 2009. "What Moves Bond Yields In China?," Working Paper Series 2009-9, Stockholm School of Economics, China Economic Research Center.
  127. D H Kim, 2002. "Another look at yield spreads: The role of liquidity," Centre for Growth and Business Cycle Research Discussion Paper Series 04, Economics, The University of Manchester.
  128. Sangyong Joo & Daehwan Kim & Jeffrey Nilsen, 2021. "Monetary Policy and Long-Term Interest Rates in Korea: A Decomposition Analysis," Korean Economic Review, Korean Economic Association, vol. 37, pages 327-366.
  129. Petri Maki-Franti, 2008. "Money and stock returns: is there habit formation for holding liquid assets?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 63-80.
  130. Ronald Lange, 2008. "A decomposition of the predictive content of the term structure for output growth in Canada," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1537-1545.
  131. John H. Cochrane, 2009. "Comment on "On the Need for a New Approach to Analyzing Monetary Policy"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 427-448, National Bureau of Economic Research, Inc.
  132. Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
  133. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
  134. repec:zbw:bofrdp:2007_018 is not listed on IDEAS
  135. Rosa, Carlo, 2008. "Talking less and moving the market more: is this the recipe for monetary policy effectiveness?: evidence from the ECB and the Fed," LSE Research Online Documents on Economics 19629, London School of Economics and Political Science, LSE Library.
  136. Johann Scharler, 2004. "Understanding the Stock Market’s Response to Monetary Policy Shocks," Working Papers 93, Oesterreichische Nationalbank (Austrian Central Bank).
  137. Kulish, Mariano & Rees, Daniel, 2011. "The yield curve in a small open economy," Journal of International Economics, Elsevier, vol. 85(2), pages 268-279.
  138. Cortez, Willy Walter & Islas C., Alejandro, 2012. "Mexico: what is the impact of monetary policy on unemployment rates?," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
  139. Carlo Favero & Francesco Giavazzi, 2008. "Should the Euro Area Be Run as a Closed Economy?," American Economic Review, American Economic Association, vol. 98(2), pages 138-145, May.
  140. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999. "Money and Interest Rates with Endogeneously Segmented Markets," NBER Working Papers 7060, National Bureau of Economic Research, Inc.
  141. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
  142. Shamik Dhar & Stephen P Millard, 2000. "How well does a limited participation model of the monetary transmission mechanism match UK data?," Bank of England working papers 118, Bank of England.
  143. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
  144. Gildas Lamé, 2013. "Was there a "Greenspan conundrum" in the Euro Area ?," Working Papers 2013-07, Center for Research in Economics and Statistics.
  145. Hedva Ber & Adi Brender & Sigal Ribon, 2004. "Are Fiscal and Monetary Policies reflected in Real Yields? Evidence from a period of Disinflation and Declining Deficit Targets," Israel Economic Review, Bank of Israel, vol. 2(2), pages 15-44.
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  147. Lee, Jim, 2006. "The impact of federal funds target changes on interest rate volatility," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 241-259.
  148. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
  149. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated monetary policy and the dynamic behaviour of the term structure of interest rates," Bank of Finland Research Discussion Papers 12/1999, Bank of Finland.
  150. Sowmya, Subramaniam & Prasanna, Krishna, 2018. "Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 178-192.
  151. Jennifer E. Roush, 2001. "Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory," International Finance Discussion Papers 712, Board of Governors of the Federal Reserve System (U.S.).
  152. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Research Discussion Papers 18/2007, Bank of Finland.
  153. Oscar Jorda & Kevin Salyer, 2003. "The Response of Term Rates to Monetary Policy Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 941-962, October.
  154. Canova, Fabio & Nicolo, Gianni De, 2002. "Monetary disturbances matter for business fluctuations in the G-7," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
  155. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
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  157. Monika Piazzesi, 2002. "The Fed and Interest Rates - A High-Frequency Identification," American Economic Review, American Economic Association, vol. 92(2), pages 90-95, May.
  158. David Lucca & Francesco Trebbi, 2008. "Measuring Central Bank Communication:," 2008 Meeting Papers 571, Society for Economic Dynamics.
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  165. Oscar Jorda, 2003. "Model-Free Impulse Responses," Working Papers 305, University of California, Davis, Department of Economics.
  166. James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October.
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