Claus, E and Dungey, M, Can monetary policy surprises affect the term structure?, Journal of Macroeconomics, 47 pp. 68-83. ISSN 0164-0704 (2016) [Refereed Article]
Copyright 2015 Elsevier Inc.
When monetary policy surprises financial markets, yields change but identifying the effects of these surprises on the yield curve is not a trivial exercise. Identification often involves as- suming either that policy shocks are different to those on other news days (identification via heteroskedasticity) or, that they are the same (homogeneity). These monetary policy changes sometimes cause shifts in the yield curve and sometimes rotations. An additional identifying assumption is typically made whether this behavior reflects a single type of monetary pol- icy shock or, whether two types of shocks are present. This paper applies a single theoretical framework to empirical evidence from Australia, Canada, New Zealand and the United States prior to and following the crisis events of 2008. The results support a complex structure which varies across countries and evidence of distinct change across the crisis period.
|Item Type:||Refereed Article|
|Keywords:||Monetary policy shocks, Interest rates, Central bank preferences, Transparency, Latent factor model|
|Research Group:||Applied Economics|
|Research Field:||Macroeconomics (incl. Monetary and Fiscal Theory)|
|Objective Division:||Economic Framework|
|Objective Field:||Fiscal Policy|
|Author:||Dungey, M (Professor Mardi Dungey)|
|Web of Science® Times Cited:||2|
|Deposited By:||Tasmanian School of Business and Economics|
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