Monetary policy and U.S. long-term interest rates: how close are the linkages?

Simple item page
buir.contributor.authorBerument, Hakan
dc.citation.epage50en_US
dc.citation.issueNumber1en_US
dc.citation.spage34en_US
dc.citation.volumeNumber61en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorFroyen, R.en_US
dc.date.accessioned2015-07-28T11:59:07Z
dc.date.available2015-07-28T11:59:07Z
dc.date.issued2009en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThe effect of monetary policy on long-term interest rates has been a question of interest in recent years. A number of papers, relying on single-equation estimation techniques, have presented evidence that long-term interest rates exhibit sizable and significant responses to unanticipated changes in the Federal Reserve's target federal funds rate. This paper examines these findings in light of conflicting findings from VAR studies, which indicate negligible effects of innovations in the federal funds rate on long-term rates. To address the issue we use a single-equation approach where unanticipated changes in the federal funds rate are measured as residuals from policy reaction functions. We also estimate VAR specifications, which incorporate information about the timing of changes in the Federal Reserve's target federal funds rate. Our single-equation estimates provide evidence of strong responses of long rates to unanticipated changes in the federal funds rate both for the Greenspan period and for a longer period back to the mid-1960s. It seems likely that estimated VARs for the post-1987 years are less successful in isolating monetary policy surprises than was the case for earlier years. © 2007 Elsevier Inc. All rights reserved.en_US
dc.description.provenanceMade available in DSpace on 2015-07-28T11:59:07Z (GMT). No. of bitstreams: 1 10.1016-j.jeconbus.2007.11.004.pdf: 1000959 bytes, checksum: 263bf30e8443711a0cd45b2ce07486d1 (MD5)en
dc.identifier.doi10.1016/j.jeconbus.2007.11.004en_US
dc.identifier.issn0148-6195
dc.identifier.urihttp://hdl.handle.net/11693/11867
dc.language.isoEnglishen_US
dc.publisherElsevier Inc.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.jeconbus.2007.11.004en_US
dc.source.titleJournal of Economics and Businessen_US
dc.subjectLong-term interest rateen_US
dc.subjectMonetary policyen_US
dc.titleMonetary policy and U.S. long-term interest rates: how close are the linkages?en_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
10.1016-j.jeconbus.2007.11.004.pdf
Size:
977.5 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Department of Economics