NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Money Growth and Interest Rates

Seok-Kyun Hur

NBER Working Paper No. 11102
Issued in February 2005
NBER Program(s):   IFM

Our paper explores a transmission mechanism of monetary policy through bond market. Based on the assumption of delayed responses of economic agents to monetary shocks, we derive a system of equations relating the term structure of interest rates with the past history of money growth rates and test the equations with the US data. Our results confirm that the higher ordered moments of money growth rate(converted from the past history of money growth rates) influence the yields of bonds with various maturities in different timing as well as in different magnitudes and monetary policy targeting a certain shape of the term structure of interest rates could be implemented with certain time lags due to path-dependency of interest rates.

download in pdf format
   (625 K)

email paper

This paper is available as PDF (625 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w11102

Published:

Users who downloaded this paper also downloaded these:
Hur Money Growth and Interest Rates
Roley and Walsh w1278 Unanticipated Money and Interest Rates
Gambacorta w10295 How Do Banks Set Interest Rates?
Bernanke and Mihov w6608 The Liquidity Effect and Long-Run Neutrality
Feldstein and Stock The Use of a Monetary Aggregate to Target Nominal GDP
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us