This article addresses the question of whether the relation between the short interest rate and consumption growth has been stable over the financial crisis and the ensuing period of unconventional monetary policy. The question is addressed by assessing models using constant or drifting parameters as well as models with or without stochastic volatility in a Bayesian VAR framework, based on data from the USA and Sweden. According to the results, the response of interest rates to shocks in consumption growth has decreased for both countries, which could be because the central banks were constrained by the zero lower bound. When shadow rates are used to study the impact of unconventional monetary policy the results suggest that the Federal Reserve successfully maintained an active monetary policy in spite of the zero lower bound. The responsiveness of the Riksbank, on the other hand, decreases in face of the zero lower bound even when unconventional monetary policy is considered. The response of consumption growth to short interest rates is best modelled as constant over the period. Finally, results support the inclusion of stochastic volatility throughout estimations.

In this paper, we investigate how the 5‐year Swedish municipal bond yield has been related to the corresponding yield on government bonds during the period that the Riksbank has conducted unconventional monetary policy in terms of bond purchases. Using daily Swedish data on bond yields from February 2015 to January 2018, we first conduct an event study to assess the short‐run effects of the Riksbank's bond‐purchase announcements. We then estimate bivariate vector autoregressive models to study the dynamic relationship between the yields. Results from the event study suggest that the accumulated short‐run effect of the Riksbank's announcements was to lower the government bond yield by approximately 40 to 50 basis points and municipal bond yields by 30 to 35 basis points. Our vector autoregressive analysis indicates—in line with the event study—that an unexpected decrease in the government bond yield initially increases the municipal bond‐yield spread. However, after approximately 4 weeks, the effect has been reversed and the municipal bond‐yield spread is lower than it was initially. By conducting this analysis, we contribute to the understanding of the transmission of unconventional monetary policy.

In this article, I explore time variation in the relationship between the credit spread and employment growth. Using a Bayesian VAR framework and formal model selection, it is concluded that the relationship is best modelled with constant parameters, but that heteroscedasticity needs to be taken into account. An interesting change in the dynamics is uncovered, where volatility in employment shocks induces more of the dynamics earlier in the sample and the role of volatility in credit-spread shocks is more pronounced in the latter parts.

This paper evaluates the forecasting performance of the policy-rate path published by the Swedish central bank, the Riksbank. Using data from 2007 to 2019, I find that the Riksbank's forecast has been relatively inaccurate compared to a forecast inferred from market pricing. My analysis indicates that this result is primarily driven by events during the period 2010-2014. This coincides with a period during which the Riksbank arguably "leaned against the wind" and a potential link is discussed in the paper.