Scandinavian Working Papers in Economics
Research Papers in Economics,
Stockholm University, Department of Economics
No 2009:12: What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback
Paolo Zagaglia ()
Additional contact information
Paolo Zagaglia: Dept. of Economics, Stockholm University, Postal: Department of Economics, Stockholm University, S-106 91 Stockholm, Sweden
Abstract: I study a general-equilibrium model of the term structure where bond prices are an integral part of the monetary transmission mechanism. The model is estimated on quarterly Euro area data. I show that, besides shocks to the inflation target, also exogenous variations in money demand and bond supply can explain movements in long-term interest rates. I also find that taking into account the impact of bond yields on the macroeconomy generates superior in-sample and out-of-sample forecasts for output, inflation and for bond yields.
Keywords: Monetary policy; yield curve; monetary transmission mechanism
54 pages, May 13, 2009
Full text files
wp09_12.pdf
Questions (including download problems) about the papers in this series should be directed to Anne Jensen ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:sunrpe:2009_0012This page generated on 2024-09-13 22:17:18.