Monetary Policy Shifts and the Term Structure

The paper has benefited from discussions with Marc Giannoni, Michael Johannes and Monika Piazzesi. We thank the editor and two referees for excellent comments that have improved the paper. We thank Giorgio Primiceri, Oreste Tristani, Kenneth West, and seminar participants at the American Finance Association, Banque de France, Capital Group, Cornell University, the Federal Reserve Board, the Federal Reserve Bank of San Francisco conference on Monetary Policy and Asset Prices, IMF, McGill University, Norwegian School of Management (BI), Oxford University, Simon Fraser University, and UT Austin. Andrew Ang acknowledge support from the NSF (SES-0137145) and Jean Boivin from the NSF (SES-0518770) and the IFM2. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.