Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks

This paper studies the non-linear response of the term structure of interest rates to monetary policy shocks. We show that uncertainty about monetary policy changes the way the term structure responds to monetary policy. A policy tightening leads to a significantly smaller increase in long-term b...

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Bibliographic Details

Published in:	MAGKS - Joint Discussion Paper Series in Economics (Band 24-2017)
Main Author:	Tillmann, Peter
Format:	Article
Language:	English
Published:	Philipps-Universität Marburg 2017
Subjects:	local projections Monetary policy uncertainty term premium, unconventional monetary policy Wirtschaft term structure Economics
Online Access:	PDF Full Text
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