Monetary policy and long-term US interest rates

Berument, Hakan; Froyen, Richard T.

doi:10.1016/j.jmacro.2005.02.004

Cited by 21 publications

(17 citation statements)

References 23 publications

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“…It takes into account the proportion of the adjustment, which takes place in the first period and the total adjustment in the long run. Robustness of these results obtained from the ECM estimates are formally checked by estimating bivariate VAR models and comparing impulse responses as suggested by Diebold and Sharpe (1990);De Bondt (2005) and Berument and Froyen (2006).…”

Section: /mentioning

confidence: 99%

Monetary Transmission Mechanism in Sri Lanka: A Comprehensive Assessment with New Evidence

Perera¹

2016

Staff Studies

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confidence: 99%

Monetary Transmission Mechanism in Sri Lanka: A Comprehensive Assessment with New Evidence

Perera¹

2016

Staff Studies

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“…Looking at the longest time period , while the effect of a change in the federal funds rate on the 1-year interest rate is smaller, the effect on the long-term rate, as measured by the 10-year rate, is close to that of Edelberg and Marshall and Evans and Marshall. The Berument and Froyen (2006) VAR study for the period of the Greenspan chairmanship (Table 1, line 5) shows little significant effect of monetary policy actions on the 10-year interest rate.…”

Section: Some Previous Var Resultsmentioning

confidence: 99%

“…Based on a VAR analysis for the sample period 1964-1995 and employing three methods for identification of the system, they conclude that long-term rates are "virtually unaffected" by monetary policy actions. Berument and Froyen (2006) estimate VARs with weekly data from 1975 to 2002 and consider various sub-periods. Estimated effects of changes in the federal funds rate on long-term interest rates from their study are shown in lines 5-7 of Table 1.…”

Section: Some Previous Var Resultsmentioning

confidence: 99%

“…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.…”

Section: Introductionmentioning

confidence: 99%

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Monetary policy and U.S. long-term interest rates: How close are the linkages?

Berument

Froyen

2009

Journal of Economics and Business

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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.

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“…6 Another explanation could be put forward is that the economic performance is affected by long term interest rates but not short term interest rate (Bernanke and Reinhart, 2004). If the relationship between long and short term interest rates are not stable (evidence on this issue one may look at Berument and Froyen, 2006), then, the innovations on short term interest rate (interbank interest rate here) may not 6 See Mishkin (1996) for an overview of the transmission mechanisms of monetary policy.…”

Section: Discussion and Policy Implicationsmentioning

confidence: 99%

Macroeconomic Policy and Unemployment by Economic Activity: Evidence from Turkey

Berument

Dogan

Tansel

2009

Emerging Markets Finance and Trade

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*This paper investigates how macroeconomic policy shocks in Turkey affect the total unemployment and provides evidence on the differential responses of the unemployment by sectors of economic activity. Our paper extends the previous work in two respects. First, we consider not only the response of total unemployment but also the response of unemployment by sectors of economic activity. Second, we consider not only the effect of monetary policy shocks, but also the effects of several other macroeconomic shocks. The quarterly data used which covers the period 1988:01 to 2004:04 from Turkey. A VAR model with a recursive order is employed to estimate the effects of shocks in real GDP, price, exchange rate, interbank interest rate, money supply and own sectoral unemployment on unemployment by sectors of economic activity. The results indicate that the positive income shock is followed by a decrease in unemployment in all economic activity groups during the initial periods except the unemployment in the Electricity sector and the Community Services sector. A positive money shock decreases unemployment in sectors of Mining, Manufacturing, Construction, Wholesale-Retail Trade, Transportation and, FinanceInsurance. Opposite results are obtained with the interbank interest rate shocks. Even if, they are not statistically significant, a positive interbank interest rate shock increases the unemployment in all economic activities at the initial levels but derives down the unemployment in the Agriculture and the Community Services sectors at the initial level. Moreover, a positive price shock increases unemployment in all economic sectors in the long run except the Mining and the Community Services. Thus, unemployment in different sectors of economic activity responds differently to various macroeconomic policy shocks. JEL Classification:E60, E24

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Monetary policy and long-term US interest rates

Cited by 21 publications

References 23 publications

Monetary Transmission Mechanism in Sri Lanka: A Comprehensive Assessment with New Evidence

Monetary Transmission Mechanism in Sri Lanka: A Comprehensive Assessment with New Evidence

Monetary policy and U.S. long-term interest rates: How close are the linkages?

Macroeconomic Policy and Unemployment by Economic Activity: Evidence from Turkey

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