Title of article
The greatmoderationofthetermstructureofUKinterestrates
Author/Authors
FrancescoBianchi، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
16
From page
856
To page
871
Abstract
The conductofmonetarypolicy,thetermstructureofinterestratesandthestructureof
theeconomyintheUKhavechangedoverthepost-WWIIperiod.Wemodelthe
interaction betweenthemacroeconomyandfinancialmarketsusingatime-varyingVAR
augmentedwiththefactorsfromtheyieldcurve.Thereisevidenceofagreat
moderationinthedynamicsoftheyieldcurve,withthefactorsbeingpersistentand
volatile beforetheintroductionofinflationtargetingin1992butbecomingstable
afterwards.Theintroductionoftime-variationintheFactorAugmentedVARimproves
thefitofthemodelandresultsinexpectationhypothesisconsistentyieldsthatareclose
to actualyields,evenatlongmaturities.Monetarypolicyshockshadasignificant
impactonthevolatilityofinflation,outputandthepolicyrateoverthepre-inflation
targetingera,buttheircontributionhasbeennegligibleunderthecurrentregime.
Shockstotheleveloftheyieldcurveaccountedforalargefractionofinflationvariability
only before1992
Keywords
Monetary policyYield curveTime-variationExpectations hypothesis
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846337
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