TY  - JOUR
AU  - Ang,Andrew
AU  - Boivin,Jean
AU  - Dong,Sen
AU  - Loo-Kung,Rudy
TI  - Monetary Policy Shifts and the Term Structure
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15270
PY  - 2009
Y2  - August 2009
UR  - http://www.nber.org/papers/w15270
L1  - http://www.nber.org/papers/w15270.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Jean Boivin
Bank of Canada
234 Wellington Street
Ottawa
Ontario K1A 0G9
Canada
Tel: 613-782-8278
E-Mail: jboivin@bankofcanada.ca

Sen Dong
Ortus Capital Management Ltd
27th Floor, The Center
99 Queen’s Road Central
Hong Kong
E-Mail: sen.dong@ortuscapital.com

Rudy Loo-Kung
Columbia University
420 West 118th Street
New York NY 10027
E-Mail: rjl2119@columbia.edu
AB  - We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output gap has averaged around 0.4 and has not changed very much over time. The overall response of the yield curve to output gap components is relatively small. In contrast, the inflation loading has changed substantially over the last 50 years and ranges from close to zero in 2003 to a high of 2.4 in 1983. Long-term bonds are sensitive to inflation policy shifts with increases in inflation loadings leading to higher short rates and widening yield spreads.
ER  -