Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97500
Authors: 
Moretti, Laura
Year of Publication: 
2014
Series/Report no.: 
CFS Working Paper 457
Abstract: 
This paper investigates the role of monetary policy in the collapse in the long-term real interest rates in the decade before the onset of the financial crisis using a sample of five advanced economies (United States, United Kingdom, the euro area, Sweden and Canada). The results from an estimated panel VAR with monthly data show that, while monetary policy shocks had negligible effects on long-term real interest rates, shocks to the long-term real interest rates had a one-to-one effect on the short nominal rate.
Subjects: 
monetary policy
long-term real interest rates
panel VAR
JEL: 
E43
E52
E58
Document Type: 
Working Paper

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