Research Discussion Papers, Bank of Finland
No 12/2004:
Measuring the long-term perception of monetary policy and the term structure
Nicolas Rautureau ()
Abstract: This paper has two objectives. The first is to identify
the long-term public perception of monetary policy. The second is to
identify the relationship between this perception and long-term bond rates.
For German data, the use of a two-factor model of the term structure
results in the best forecast of long-term interest rates for the period
between January 1975 and January 2003. It also allows us to introduce as
the second factor the long-term perception of inflation as a characteristic
of the behaviour of monetary authorities.
Keywords: expectations hypothesis; monetary policy; changepoints; (follow links to similar papers)
JEL-Codes: E43; (follow links to similar papers)
46 pages, October 14, 2004
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