Title of article :
The greatmoderationofthetermstructureofUKinterestrates
Author/Authors :
FrancescoBianchi، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
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
Journal title :
Journal of Monetary Economics
