Monetary Policy and Market Interest Rates

By Tore Ellingsen, Ulf Söderström. 2001

221 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7b89b31ff3fc816e7d3f0444bca50c8c3602b709

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In Economics and Econometrics

Citations in the corpus

Which News Moves the Euro Area Bond Market? (2006, unknown): “(2004) for the impact on stock markets and Faust et al. (2002) or Andersen and Bollerslev (1997, 1998) for the impact on foreign exchange markets.”
The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models (2003, background): “…target.23 Moreover, we assume that the central bank’s inflation target * is not directly observed by the private sector, and thus must be inferred by agents on the basis of the central bank’s actions, as in Kozicki and Tinsley (2001a), Ellingsen and Soderstrom (2001), and Erceg and Levin (2003).”
The Euro Interbank Repo Market (2016, unknown): “III.1.3 Central bank policy Central bank policy is a main driver of interest rates in general and repo market activity in particular (see, e.g., Ellingsen and Söderström (2001)).”
A MACRO-FINANCE MODEL OF THE TERM STRUCTURE, MONETARY POLICY AND THE ECONOMY* (2003, unknown): “A key parameter is μπ, which measures the relative importance of forward- versus backward-looking pricing behavior.(16) Since our model is estimated with monthly data, its empirical specification differs from (4.”
Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison (2006, unknown): “22 Ellingsen and Söderström (2001) provide evidence of the importance of the latter effect.”
High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2018, unknown): “Ellingsen and Söderström (2001) present a model in which the signaling effect derives from announcements about the current interest rate. specification without the Etπ̂t+1 term on the left-hand side of equation (5).”