Monetary policy rules and the term structure of interest rates: A dynamic asset pricing approach.

摘要

This thesis examines the relationship between the term structure of interest rates and monetary policy. It incorporates responsive monetary policy rules into a dynamic asset pricing model to provide a new theoretical analysis and empirical evidence of the mechanism by which shifts in the policy stance lead to structural breaks in the yield curve.;Chapter 1 discusses relevant literature and provides an overview of the dissertation. In Chapter 2 I develop a tractable continuous time dynamic asset pricing model for an economy where monetary policy is characterized by a responsive policy rule that reflects the actual behavior of the central bank. It is shown that a multi-factor Cox-Ingersoll-Ross model (CIR) can be obtained as a closed form solution for the term structure of interest rates, with the coefficients in the CIR model being functions of the policy parameters. The model elucidates the underlying mechanism by which the monetary policy affects the yield curve, and is able to explain the behavior of nominal interest rates across different monetary policy regimes in the United States.;Chapter 3 draws on the theoretical model to obtain econometric evidence of the impact of a shift in the policy rule on the term structure. It improves upon the previous empirical studies on this subject by explicitly imposing no-arbitrage restrictions on interest rates in the econometric estimations. I find significant evidence of a structural break in the yield curve associated with a shift in the monetary policy, providing empirical support to the theoretical analysis.;Chapter 4 explores the relationship between the monetary policy and the term structure in a simple yet fully articulated macroeconomic model. Nominal rigidity in the form of staggered price setting is introduced into the model to provide a micro foundation of the correlation between inflation and consumption growth. The impacts of changes in the monetary policy on the term structure are examined through numerical simulations, and the results provide further support to conclusions reached in earlier chapters. Chapter 5 summarizes the findings and concludes the dissertation.