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Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve
Author:
Mr. Ales Bulir
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and
Mr. Jan Vlcek
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Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 004
Language:
English
Publication Date:
17 Jan 2020
DOI:
https://doi.org/10.5089/9781513522012.001
ISBN:
9781513522012
ISSN:
1018-5941
Pages:
36
Keywords:
WP; rate; interest rate; Nelson-Siegel yield curve model; inflation expectation; yield curve movement; Monetary transmission; yield curve; rule-based monetary policy; inflation-targeting country; monetary policy innovation; monetary policy decision; inflation stabilization; Inflation; Exchange rates; Inflation targeting; Central bank policy rate; Sub-Saharan Africa; Africa; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Does monetary policy react systematically to macroeconomic innovations? In a sample of 16 countries – operating under various monetary regimes – we find that monetary policy decisions, as expressed in yield curve movements, do react to macroeconomic innovations and these reactions reflect the monetary policy regime. While we find evidence of the primacy of the price stability objective in the inflation targeting countries, links to inflation and the output gap are generally weaker and less systematic in money-targeting and multiple-objective countries.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2020: Issue 004