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U.S. monetary policy surprises: identification with shifts and rotations in the term structure
journal contribution
posted on 2023-05-17, 14:04 authored by Claus, E, Dungey, MWe develop a model to extract measures of monetary policy surprises from the maturity structure of the yield curve. The model endogenously allows for the fact that the yield curve may either shift or rotate in response to monetary policy shocks. A latent factor model approach with identification through heteroskedasticity harnesses the term structure to extract monetary policy shocks. The approach offers informational advantages over event studies. Results from the U.S. term structure from 1994 strongly support the hypothesis that differing term structure responses are reactions to different types of monetary policy shock, rather than differing reactions to the same policy shock.
Funding
Australian Research Council
History
Publication title
Journal of Money, Credit and BankingVolume
44Issue
7Pagination
1443-1453ISSN
0022-2879Department/School
TSBEPublisher
Ohio State Univ PressPlace of publication
1050 Carmack Rd, Columbus, USA, Oh, 43210Rights statement
Copyright 2012 The Ohio State UniversityRepository Status
- Restricted