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• W2073706081 abstract "This paper provides new estimates of the impact of monetary policy actions and macroeconomic news on the term structure of nominal interest rates. The key novelty is to parsimoniously capture the impact of news on all interest rates using a simple no‐arbitrage model. The different types of news are analyzed in a common framework by recognizing their heterogeneity, which allows for a systematic comparison of their effects. This approach leads to novel empirical findings. First, monetary policy causes a substantial amount of volatility in both short‐term and long‐term interest rates. Second, macroeconomic data surprises have small and mostly insignificant effects on the long end of the term structure. Third, the term‐structure response to macroeconomic news is consistent with considerable interest‐rate smoothing by the Federal Reserve. Fourth, monetary policy surprises are multidimensional while macroeconomic surprises are one‐dimensional." @default.
• W2073706081 created "2016-06-24" @default.
• W2073706081 creator A5087413520 @default.
• W2073706081 date "2015-03-01" @default.
• W2073706081 modified "2023-10-03" @default.
• W2073706081 title "Nominal Interest Rates and the News" @default.
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• W2073706081 doi "https://doi.org/10.1111/jmcb.12177" @default.
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