علامت دهی سیاست های پولی و جنبشهایی در ساختار اصطلاح نرخ بهره
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26102||2006||41 صفحه PDF||سفارش دهید||18575 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Monetary Economics, Volume 53, Issue 8, November 2006, Pages 1815–1855
This paper examines how various monetary policy signals such as repo rate changes, inflation reports, speeches, and minutes from monetary policy meetings affect the term structure of interest rates. We find that unexpected movements in the short end of the yield curve are mainly driven by unexpected changes in the repo rate. However, published inflation reports and speeches also have some impact on short rates. Speeches are found to be a more important determinant for the longer end of the term structure. Our conclusion is that central bank communication is an essential part of the conduct of monetary policy.
The efficiency of monetary policy is strongly related to monetary policy signaling, i.e. the way policy makers indicate their intentions through policy reports, speeches and other communication channels. The reason for this is that important variables such as the exchange rate and long-term interest rates reflect expectations of future monetary policy. Thus, the monetary policy stance should be assessed in terms of expected future monetary policy intentions rather than the current setting of the central bank's instrument (normally a short-term nominal interest rate). Indeed, there are examples of models in which the intended future level of the official interest rate rather than its current level is considered to be the instrument for the central bank, see Svensson (2003). The theoretical considerations above suggest that policy makers should try to steer a (very) long-term interest rate by signaling the intentions of future monetary policy and confirm and support such a signaling policy by adjusting the short-term interest rates. However, in practice there are several problems with such a policy device. First, it is hardly meaningful to indicate policy intentions more than a few years ahead since future monetary policy depends on future economic conditions, which become very hard to predict as the forecast horizon increases. Second, the controllability of interest rates declines with maturity since movements in long-term interest rates to a large extent reflect exogenous factors such as global interest rate trends and fluctuating term premia. It is therefore an open empirical issue to determine to what extent monetary policy signaling can affect medium- and long-term interest rates. The aim of this paper is to shed some light on this issue by examining the relationship between monetary policy signaling by the Riksbank (the Swedish central bank) and movements in the Swedish term structure of interest rates. The literature that analyzes term structure effects from monetary policy actions includes Cook and Hahn (1989), Buttiglone et al. (1997), Lindberg et al. (1997), Favero et al. (1996), Evans and Marshall (1998), Haldane and Read (2000), Kuttner (2001). This paper extends the analysis in the literature cited above in at least two important directions. First, it relates unexpected term structure movements not only to unexpected monetary policy actions, but also to unexpected changes in other important factors like foreign interest rates, surprises in the outcome of inflation, GDP and other macrovariables as well as unexpected portfolio effects. This paper is hence also to some extent related to studies analyzing macroeconomic announcement effects (Flemming and Remelona, 1999). Second, the paper broadens the concept of monetary policy actions to include (in addition to the changes in the official interest rate) signals from board member speeches, inflation reports and minutes from monetary policy meetings. These additional channels for monetary policy action turn out to be important. Like Buttiglone et al. (1997) and Haldane and Read (2000) we find that unexpected changes in the official interest rate has a quite small impact on longer market interest rates (maturity of 5 years). Moreover, unexpected signals from speeches appear to have significant effects on longer interest rates that normally are larger than those from unexpected changes of the official rate. In addition, other monetary policy signals provided from the inflation reports and the publications of minutes also seem to be of some importance. The main conclusion of this paper is that central bank communication is an essential part of the conduct of monetary policy—an aspect that recently has started to gain some attention in the literature (see e.g. Guthrie and Wright (2000); Woodford (2001)). The paper is organized in the following way. In Section 2 the interaction between economic shocks, monetary policy signaling, monetary policy decision making and movements in the term structure of interest rates are discussed using features from the policy process at the Riksbank. In Section 3 a model of the Swedish term structure of interest rates is presented, which incorporates factors discussed in Section 2. The model is evaluated in Section 4. Section 5 summarizes and concludes.
نتیجه گیری انگلیسی
This paper examines how various monetary policy signals from the Riksbank (the Swedish Central Bank) affect the Swedish term structure of interest rates. The paper extends the existing literature in two important ways. First, it relates unexpected term structure movements not only to unexpected monetary policy actions, but also to unexpected changes in other factors like foreign interest rates, surprises in the outcome of economic variables such as inflation and GDP among other macroeconomic variables and unexpected portfolio effects. Second, the paper broadens the concept of monetary policy actions to include (in addition to the changes in the official interest rate) unexpected signals from speeches, inflation reports and minutes from monetary policy meetings. The overall picture is that the policy variables, especially unexpected changes in the repo rate (the official instrumental rate of the Riksbank), are the most important factors for movements of the short end of the yield curve (the nominal three month interest rate) but they still contribute significantly (in a statistical as well as in an economic sense) to movements in market interest rates of longer maturities. Surprises in the outcome of inflation and GDP and unexpected changes in market conditions (term premia) also had some impact on the term structure of interest rates. However, the foreign interest rate is probably the most important factor in the sense that it is the dominant factor for interest rates with a maturity of 2 years or more. A closer inspection of the policy variables reveals that the impact on market interest rates from unexpected changes in the repo rate declines as maturity increases. The results are in line with the results in other papers analyzing how changes in the official rate affect the term structure of interest rates. However, announcements of no change in the repo rate only affect interest rates with a maturity of 1 year or less. The observation that unexpected repo rate decisions are a dominating factor behind movements in short-term interest rate suggests that monetary policy is rather unpredictable in the short run, which in turn may reflect problem with transparency. It seems, however, that much of the lack of predictability of the repo rate stem from the fact that repo rate decisions are not as frequent as optimal policy rules imply and the exact timing of a policy move is also quite hard to predict. The reasons behind and consequences of this kind of policy behavior should be addressed in future research. The published inflation forecast 2 years ahead have some impact on interest rates with a maturity of 1 year or less. The minority view as reflected in the minutes published a few weeks after monetary policy meetings had only a small and insignificant effect on investors’ expectations concerning repo rate decisions in the subsequent meetings. Unexpected signals from speeches appear to be as important (and potentially larger e.g. when the Governor delivers a speech) as unexpected repo rate changes for Swedish term structure movements, especially for interest rates with maturities of 2 years or longer. However, it can be misleading to compare repo rate changes and speeches as separate policy variables without taking the interaction between them into account. As an example of this interaction, it is shown that speeches signaling repo rate increases had a far stronger impact than speeches signaling repo rate decreases. Consequently, unexpected decreases in the repo rate had a much stronger impact than repo rate increases. Finally, one should recall that there is an implicit and fundamental role of the repo rate in the sense that other channels for signaling future monetary policy intentions would be useless if there was no repo rate (or other instrument) that could implement these intentions. This does not, however, alter the main conclusion of this paper namely that central bank communication is an essential part of the conduct of monetary policy—an aspect that should be examined further in future research.