Korea Development Institute
POB 113, Chongnyang Seoul
NBER Working Papers and Publications
|October 2007||Measuring the Effectiveness of Fiscal Policy in Korea|
in Fiscal Policy and Management in East Asia, NBER-EASE, Volume 16, Takatoshi Ito and Andrew K. Rose, editors
|September 2006||Money Growth and Interest Rates|
in Monetary Policy with Very Low Inflation in the Pacific Rim, NBER-EASE, Volume 15, Takatoshi Ito and Andrew K. Rose, editors
|February 2005||Money Growth and Interest Rates|
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.
Published: Ito, Takatoshi and Andrew K. Rose (eds.) Monetary Policy with Very Low Inflation in the Pacific Rim NBER-East Asia Seminar on Economics, vol. 15. Chicago and London: University of Chicago Press, 2006.