سیاست های پولی و نرخ بهره بلند مدت ایالات متحده : چگونه ارتباطی نزدیک است؟

The effect of monetary policy on long-term interest rates has been a question of interest in recent years. A number of papers, relying on single-equation estimation techniques, have presented evidence that long-term interest rates exhibit sizable and significant responses to unanticipated changes in the Federal Reserve's target federal funds rate. This paper examines these findings in light of conflicting findings from VAR studies, which indicate negligible effects of innovations in the federal funds rate on long-term rates. To address the issue we use a single-equation approach where unanticipated changes in the federal funds rate are measured as residuals from policy reaction functions. We also estimate VAR specifications, which incorporate information about the timing of changes in the Federal Reserve's target federal funds rate. Our single-equation estimates provide evidence of strong responses of long rates to unanticipated changes in the federal funds rate both for the Greenspan period and for a longer period back to the mid-1960s. It seems likely that estimated VARs for the post-1987 years are less successful in isolating monetary policy surprises than was the case for earlier years.

In 2006 the Financial Times called the question of why long-term interest rates were so low “the central economic problem of our time.” Referring to the question of why long-rates failed to rise in the wake of a sustained increase in U.S. short-term rates, the Times declared that “The fortunes of millions rest in no small measure on the answer to this question.” Journalistic exaggeration aside, the effect of monetary policy on long-term interest rates is a subject of considerable interest. Given current U.S. monetary policy procedures, this question reduces to that of how a change in the federal funds rate affects the yields on longer-term securities. A decade ago a reading of the literature would have indicated considerable doubt about even the direction of this effect. 1 There was also a view that the size and persistence of the effect of the federal funds rate on longer-term yields would vary with economic conditions. 2 The prevailing theory of the term-structure of interest rates, the expectations hypothesis, by itself provides little guidance about the effect monetary policy actions will have on longer-term interest rates: the nature of the effect depends on the way in which the policy action affects expected future short-term interest rates and risk premiums imbedded in long rates. Research since 2000 has changed the situation. Studies by Kuttner (2001), Cochrane and Piazzesi (2002), Gurkaynak, Sack, and Swanson (2005a), Ellingsen and Söderström (2003), Ellingsen, Söderström, and Masseng (2004) and Beechey (2007) provide evidence that unanticipated changes in the federal funds rate have significant effects on U.S. interest rates at maturities as long as 10 or 30 years. Kuttner's estimates, for example, indicate that an unanticipated rise of one-percentage point in the federal funds target rate will increase the interest rate on a 10-year government security by 32 basis points and the rate on a 30-year security by almost 20 basis points. If one accepts the expectations hypothesis concerning the term-structure of interest rates, it is unclear why current monetary policy actions should be affecting expectations of short-term rates so far in the future. These empirical results have led to theoretical explanations, the most common of these centering on the effect monetary actions have on market participants’ perceptions of the Federal Reserve's information set and policy preferences, including their long-run target inflation rate. But how strong is this evidence of sizable significant responses of longer-term interest rates to unanticipated changes in the federal funds rate? Two characteristics of the above cited empirical studies are: they deal with the post-1987 period and use single-equation econometric methodologies. A number of other studies of the relationship between the federal funds rate and long-term interest rates use a VAR methodology and look at a longer time period: Evans and Marshall (1998), Edelberg and Marshall (1996), and Berument and Froyen (2006). These studies do not find significant sustained effects of monetary policy on long-term interest rates. Evans and Marshall, for example, find that “a contractionary policy shock induces a pronounced positive but short-lived response of short-term interest rates. The response declines monotonically with maturity; long-term rates are virtually unaffected.” This paper addresses the discrepancy between results from the two types of studies. We pursue two lines of inquiry. First, there are questions about the ability of the VAR methodology to capture policy actions and particularly policy surprises. Market forecasters may adapt to changing circumstances using information not incorporated in VARs. VARs have used monthly and quarterly data posing an identification problem alleviated by daily data used in single-equation studies. Finally, most VAR studies have focused on long sample periods and may fail to reflect recent changes in the transparency of Federal Reserve policy. Alternatively, single-equation techniques fail to control for other factors that change contemporaneously with monetary policy. Single-equation studies may suffer from an omitted variable problem. Craine and Martin (2003) provide evidence that this is the case. Moreover, single-equation estimates are based on a small sample mostly from the 1990s. VAR estimates may better characterize the general response of long-term rates to monetary policy. We proceed as follows. Section 2 reviews evidence from previous econometric studies of the relationship between the federal funds rate and longer-term interest rates. Section 3 presents the results of estimating VARs. These estimates serve as a base of comparison for our single-equation estimates. The VARs are also modified to incorporate information about the timing of changes in the Federal Reserve's target federal funds rate. In Section 4 we use a reaction function-based approach to measure monetary policy shocks and study their effects on longer-term interest rates. In Section 5 we consider the implications of our results for the question asked in the title: how close are the linkages between the federal funds rate and longer-term interest rates?

The impulse response functions presented in Section 3 indicate that innovations in the federal funds rate from VARs have small and statistically insignificant effects on longer-term interest rates during the Greenspan chairmanship. The estimated effects are even smaller than those based on VAR estimates for the longer 1971–2005 period. Single-equation estimates of the effect of actual Federal Reserve target rate changes, Kuttner's (2001) estimates using the Cook and Hahn (1989) procedure, also indicate small effects during the Greenspan period. This is in contrast to the large and statistically significant estimated effects for unanticipated changes in the federal funds rate estimated from reaction functions at meeting intervals or in target rates as estimated by Kuttner (2001). There is much less difference in estimates obtained using these different methods for pre-1979 sample periods. The larger difference in estimates for the post-1987 period is due to the fact that estimated monetary policy effects on long-term interest rates based on VARs or regressions using actual changes in the Federal Reserve's target federal funds rate decline when this sample period is examined. The effects of unanticipated changes in the federal funds rate based on reaction functions (Section 4) do not show a decline. The single-equation studies in lines 1–3 of Table 1 also show sizable and significant effects in the post-1987 period. This pattern of results is consistent with the view that neither innovations from VARs or changes in the actual Federal Reserve target federal funds rate successfully isolated “surprises” in monetary policy during the post-1987 period whereas they were more successful in doing so in the earlier period. Lange, Sack, and Whitesell (2003) provide evidence that, in a gradual process, beginning in the later 1980s, markets did come to anticipate Federal Reserve actions to a greater extent. Prior to the late-1980s, they find market anticipations “largely contemporaneous.” They see 1987–1994 as a transition period. Post-1994 “surprises” became less frequent. Poole (2005) documents changes in Federal Reserve procedures that may have further increased the predictability of changes in the federal funds rate beginning in 1997. Many sources of information, including the Federal Reserve's own guidance to markets would not be incorporated in VARs. There is also evidence that as this process of greater predictability of Federal Reserve actions developed over the 1990s and after 2000, surprises become so infrequent that responses of long-term rates to them became hard to estimate. Gurkaynak et al. (2006) find that monetary surprises do not have a significant effect on the 10-year interest rate for the sample period 1998–2005, in contrast to the finding of Gurkaynak et al. (2005a), using the same methodology for the sample period 1990–2002. The estimates from Poole et al. (2002), line 10 of Table 1, show no significant effect of monetary surprises on interest rates with maturities beyond 1 year for the 1994–2001 period. Swiston finds no effect for monetary surprises in an update of Kuttner (2001) for the years 2000–2006. 13 Our estimated effects of unanticipated policy actions on longer-term interest rates from reaction functions in Section 4 are for a longer period (1965–2000). For this period and for pre- and post-1979 sub-periods, the estimates indicate sizable significant effects on longer-term interest rates from monetary surprises. Whether the future will be like this extended period for which our measures indicate that there were often significant surprise components to Open Market Committee actions or like the more predictable past several years is not clear. The Federal Reserve currently makes a greater effort to be transparent but it can only signal its intentions. In uncertain times intentions may not prove to be good predictors of actions. Moreover, with a new chairman and many new members of the Board of Governors, post-2006 patterns of policy actions may be harder to predict than in the latter half of the nearly two decade Greenspan chairmanship.