Impact of Monetary Policy Expectation on US Long Term Interest Rates in Global Financial Crisis
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The purpose of this paper is to investigate the impact of monetary policy expectation on US long term interest rates in global financial crisis. Three onth OIS (Overnight Indexed Swap) rate is used as market expectation of monetary policy by the FRB. As for market interest rates, US Treasury note yields and swap rates of two years, five years and ten years are used. The expectation of monetary policy formed in the market did not influence US Treasury note yields and swap rates of two years, five years and ten years. One of the reasons is that financial market was under great stress in global financial crisis. Thus the function of price discovery is considered to be lost so that ordinary transmission mechanism from overnight interest rate to long term interest rate did not work. The results of this paper have following policy implication. The FRB could not influence US Treasury note yields and swap rates of two years, five years and ten years through monetary policy expectation formed in the financial market.
収録刊行物
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- 新潟大学経済論集
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新潟大学経済論集 92 87-97, 2012-03
新潟大学経済学会
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詳細情報 詳細情報について
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- CRID
- 1050845764167301504
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- NII論文ID
- 120006743165
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- NII書誌ID
- AN00183269
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- ISSN
- 02861569
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- HANDLE
- 10191/18224
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- NDL書誌ID
- 023679773
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- 本文言語コード
- en
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- 資料種別
- departmental bulletin paper
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- データソース種別
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- IRDB
- NDL
- CiNii Articles