S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 242:
Monetary Policy and Market Interest Rates

Tore Ellingsen () and Ulf Söderström ()

Abstract: We investigate, theoretically and empirically, the relationship between monetary policy and the term structure of interest rates. In particular, we show in a dynamic macroeconomic model that if monetary policy reveals information about economic developments, interest rates of all maturities move in the same direction in response to a policy innovation. If, on the other hand, monetary policy reveals information about the central bank's policy preferences, short and long interest rates move in opposite directions. In the empirical section, we provide direct measures of endogenous and exogenous monetary policy innovations in the U.S. by analyzing the reaction of financial market participants to Federal Reserve policy moves. The empirical findings support the theoretical predictions.

Keywords: monetary policy; term structure of interest rates; event studies; central bank private information; (follow links to similar papers)

JEL-Codes: E43; E52; (follow links to similar papers)

47 pages, May 28, 1998, Revised March 8, 1999

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0242.rev.ps.zip    PKZipped PostScript (568kB) 
hastef0242.rev.ps    PostScript file (2.57MB) 
hastef0242.rev.pdf.zip    PDF-file (zipped) (581kB) 
hastef0242.rev.pdf    PDF-file (854kB) 
Download Statistics
This paper is published as:
Ellingsen, Tore and Ulf Söderström, (2001), 'Monetary Policy and Market Interest Rates', American Economic Review, Vol. 91, December, No. 5, pages 1594-1607



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0242 This page was generated on 2014-12-14 19:22:55