IMF Working Papers

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

By Ales Bulir, Jan Vlcek

January 17, 2020

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Ales Bulir, and Jan Vlcek. Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve, (USA: International Monetary Fund, 2020) accessed September 20, 2024

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Summary

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.

Subject: Central bank policy rate, Exchange rates, Financial services, Foreign exchange, Inflation, Inflation targeting, Monetary policy, Prices, Yield curve

Keywords: Africa, Central bank policy rate, Exchange rates, Global, Inflation, Inflation expectation, Inflation stabilization, Inflation targeting, Inflation-targeting country, Interest rate, Monetary policy decision, Monetary policy innovation, Monetary transmission, Nelson-Siegel yield curve model, Rate, Rule-based monetary policy, Sub-Saharan Africa, WP, Yield curve, Yield curve movement

Publication Details

  • Pages:

    36

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2020/004

  • Stock No:

    WPIEA2020004

  • ISBN:

    9781513522012

  • ISSN:

    1018-5941