The effects of conventional and unconventional monetary policy : identification through the yield curve

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Title: The effects of conventional and unconventional monetary policy : identification through the yield curve
Author: Kortela, Tomi ; Nelimarkka, Jaakko
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2020
Series number: 3/2020
Year of publication: 2020
Publication date: 22.1.2020
Pages: 46
Subject (yso): rahapolitiikka; korko; euroalue
Keywords: korot; korkojen aikarakenne; tuottokäyrä
JEL: C32; C36; E43; E52; C54
Other keywords: Unconventional monetary policy; structural VAR; zero lower bound; term structure of interest rates
Abstract: Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This study explores the macroeconomic effects of conventional and unconventional policy measures in the euro area in a unified framework. We identify simultaneously three monetary policy shocks that influence different parts of the yield curve. These shocks reflect various aspects of actions and communications of the European Central Bank in conventional and unconventional monetary policy periods. According to the results, conventional interest rate policy, forward guidance and quantitative easing have asymmetric output and price responses.
Rights: https://helda.helsinki.fi/bof/copyright


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