Working Paper
Term structure transmission of monetary policy
Abstract: The sensitivity of bond rates to macro variables appears to vary both over time and over forecast horizons. The latter may be due to differences in forward rate term premiums and in bond trader perceptions of anticipated policy responses at different forecast horizons. Determinacy of policy transmission through bond rates requires a lower bound on the average responsiveness of term premiums and anticipated policy responses to inflation.
Keywords: Monetary policy;
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File(s): File format is application/pdf https://www.kansascityfed.org/documents/5367/pdf-RWP05-06.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of Kansas City
Part of Series: Research Working Paper
Publication Date: 2005
Number: RWP 05-06