Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve

37 Pages Posted: 6 Feb 2020

See all articles by Aleš Bulíř

Aleš Bulíř

International Monetary Fund (IMF)

Jan Vlček

International Monetary Fund (IMF)

Date Written: January 2020

Abstract

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.

Keywords: Bank rates, Central banks, Monetary policy, Central banking and monetary issues, Central bank policy, Monetary transmission, yield curve, rule-based monetary policy, WP, output gap, inflation expectation, inflation-targeting, policy innovation

JEL Classification: E43, E52, E58, G12, E01, G21, O24, E63

Suggested Citation

Bulir, Ales and Vlcek, Jan, Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve (January 2020). IMF Working Paper No. 20/4. Available at SSRN: https://ssrn.com/abstract=3533126

Ales Bulir (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Jan Vlcek

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
16
Abstract Views
136
PlumX Metrics