货币政策与收益率息差的信息内容

IF 0.5 4区经济学 Q4 ECONOMICS

B E Journal of Macroeconomics Pub Date : 2004-01-30 DOI:10.2202/1534-5998.1156

F. Michael

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引用次数: 6

摘要

本文研究了收益率差预测短期利率条件下产出波动能力的决定因素。在本文的模型中，这种预测能力取决于货币当局的反应函数。特别是，对货币政策行动的预期对于预测产出的利差至关重要。此外，数值实验表明，1979年后收益率差预测能力的下降是由于当时货币政策反应函数的转移。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Monetary Policy and the Information Content of the Yield Spread

This paper investigates the determinants of the ability of the yield spread to predict output fluctuations conditional on the short rate. In the model of the paper, this predictive power is contingent on the monetary authority's reaction function. In particular, expectations of monetary policy actions are crucial for the spread to predict output. Furthermore, numerical experiments suggest that the post-1979 decrease in the yield spread's predictive power is due to a shift in the monetary policy reaction function at that time.

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来源期刊

B E Journal of Macroeconomics ECONOMICS-

CiteScore

0.80

自引率

0.00%

发文量

期刊介绍： The B.E. Journal of Macroeconomics publishes significant research and scholarship in both theoretical and applied macroeconomics. The journal\"s mandate is to assemble papers from the broad research spectrum covered by modern macroeconomics. The range of topics includes business cycle research, economic growth, and monetary economics, as well as topics drawn from the substantial areas of overlap between macroeconomics and international economics, labor economics, finance, development economics, political economy, public economics, and econometric theory.