Monetary policy, long real yields and the financial crisis
- This paper investigates the role of monetary policy in the collapse in the long-term real interest rates in the decade before the onset of the financial crisis using a sample of five advanced economies (United States, United Kingdom, the euro area, Sweden and Canada). The results from an estimated panel VAR with monthly data show that, while monetary policy shocks had negligible effects on long-term real interest rates, shocks to the long-term real interest rates had a one-to-one effect on the short nominal rate.
| Author: | Laura Moretti |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-338343 |
| URL: | https://www.ifk-cfs.de/2433.html |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 457 |
| Series (Serial Number): | CFS working paper series (457) |
| Publisher: | Center for Financial Studies |
| Place of publication: | Frankfurt, M. |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2014 |
| Year of first Publication: | 2014 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2014/05/30 |
| Tag: | long-term real interest rates; monetary policy; panel VAR |
| Issue: | Version: April 2014 |
| Page Number: | 30 |
| Note: | First Version: May 2013 ; This Version: April 2014 |
| HeBIS-PPN: | 349979596 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
