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dc.contributor.authorBarnes, Michelle L.en_US
dc.contributor.authorPancost, N. Aaronen_US
dc.date.accessioned2010-10-19en_US
dc.date.accessioned2012-02-23T08:23:43Z-
dc.date.available2012-02-23T08:23:43Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/55607-
dc.description.abstractRefet G├╝rkaynak, Brian Sack, and Eric Swanson (2005) provide empirical evidence that long forward nominal rates are overly sensitive to monetary policy shocks, and that this is consistent with a model where long-term inflation expectations are not anchored because agents must infer the central bank┬┤s inflation target from noisy interest rate movements. Using the same data, methodology, and model, we show that their empirical results are neither persistent nor robust to small changes in sample period or methodology. In addition, their theoretical results rely mainly on an ad hoc law of motion for the inflation target - imperfect information about the target plays only a small role in un-anchoring expectations in their model.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of Boston Boston, Mass.en_US
dc.relation.ispartofseriesWorking paper series // Federal Reserve Bank of Boston 10-7en_US
dc.subject.jelE31en_US
dc.subject.jelE42en_US
dc.subject.jelE52en_US
dc.subject.jelE58en_US
dc.subject.ddc330en_US
dc.subject.keywordinflation targetingen_US
dc.subject.keywordmonetary regimeen_US
dc.subject.keywordexcess sensitivityen_US
dc.subject.keywordforward ratesen_US
dc.titleThe sensitivity of long-term interest rates to economic news: Commenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn637063546en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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