Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82398
Authors: 
Ellingsen, Tore
Söderström, Ulf
Year of Publication: 
2004
Series/Report no.: 
Sveriges Riksbank Working Paper Series 160
Abstract: 
We use a quantitative model of the U.S. economy to analyze the response of long-term interest rates to monetary policy, and compare the model results with empirical evidence. We find that the strong and time-varying yield curve response to monetary policy innovations found in the data can be explained by the model. A key ingredient in explaining the yield curve response is central bank private information about the state of the economy or about its own target for inflation.
Subjects: 
Term structure of interest rates
Yield curve
Central bank private information
Excess sensitivity
JEL: 
E43
E52
Document Type: 
Working Paper

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