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Federal Reserve Bank of Kansas City
Research Working Paper
Term structure transmission of monetary policy
Sharon Kozicki
Peter A. Tinsley
Abstract

The sensitivity of bond rates to macro variables appears to vary both over time and over forecast horizons. The latter may be due to differences in forward rate term premiums and in bond trader perceptions of anticipated policy responses at different forecast horizons. Determinacy of policy transmission through bond rates requires a lower bound on the average responsiveness of term premiums and anticipated policy responses to inflation.


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Sharon Kozicki & Peter A. Tinsley, Term structure transmission of monetary policy, Federal Reserve Bank of Kansas City, Research Working Paper RWP 05-06, 2005.
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Keywords: Monetary policy
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