Scandinavian Working Papers in Economics
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Bank of Finland 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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