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The Fed and Interest Rates—A High-Frequency Identification
Abstract
We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets in daily data. These shock series avoid the omitted variable, time-varying parameter, and orthogonalization problem of monthly VARs, and do not impose the expectations hypothesis. We find surprisingly large and persistent responses of bond yields to these shocks. 10 year rates rise as much as 8/10 of a percent to a one percent target shock. The usual view that monetary policy only temporarily raises long term rates and influences inflation would lead one to predict a negative long rate response.
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Cited by
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Jordà, Ò. (2005) · American Economic Review · doi:10.1257/0002828053828518 · Cited by 4,677
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BERNANKE, B. S., & KUTTNER, K. N. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00760.x · Cited by 2,384
Monetary Policy Surprises, Credit Costs, and Economic Activity
Gertler, M., & Karadi, P. (2015) · American Economic Journal: Macroeconomics · doi:10.1257/mac.20130329 · Cited by 1,455
Threats to central bank independence: High-frequency identification with twitter
Bianchi, F., Gómez-Cram, R., Kind, T., & Kung, H. (2023) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2023.01.001 · Cited by 89
House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data
Gorea, D., Kryvtsov, O., & Kudlyak, M. (2022) · doi:10.2139/ssrn.4188292 · Cited by 15
Metadata
- Authors
- Cochrane, J. H., & Piazzesi, M.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2002-04-01
- Volume
- 92
- Issue
- 2
- Pages
- 90-95
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W1991869321
- Cited by
- 476
- References
- 0
- FWCI
- 23.39
- Type
- journal article
- Language
- en
- Open access
- closed
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