收益率曲线上的货币政策：央行为何能够影响长期实际利率？.pdf

1、Monetary policy along the yield curve:Why cancentral banks affect long-term real rates?Paul Beaudry(UBC),Paolo Cavallino(BIS),Tim Willems(BoE)The views expressed in this paper are those of the authors,and notnecessarily those of the BIS,the Bank of England,or its committees.Beaudry,Cavallino&Willems

2、(2025)FLANKMay 20251/26Monetary policy along the yield curve:Why cancentral banks affect long-term real rates?Paul Beaudry(UBC),Paolo Cavallino(BIS),Tim Willems(BoE)The views expressed in this paper are those of the authors,and notnecessarily those of the BIS,the Bank of England,or its committees.Be

3、audry,Cavallino&Willems(2025)FLANKMay 20252/26IntroductionWhat drives long-run real rates of interest?Standard view:real rate is driven by real factorsDemographicsProductivity growthSafe asset supply/demandBut:monetary policy decisions have strong effects on long-termrates(Cochrane&Piazzesi,2002;Han

4、son&Stein,2015;Bianchi et al.,2022)Hillenbrand(2025):entire post-80s decline in long-term rateshas occurred in narrow windows around FOMC datesFed information effect(Nakamura&Steinsson,2018)Beaudry,Cavallino&Willems(2025)FLANKMay 20253/26Hillenbrand(2025)Beaudry,Cavallino&Willems(2025)FLANKMay 20254

5、/26Alternative hypothesisFed has greater power to affect long-term real rates than usuallythoughtFed has no such power in standard NKM,due to potency oflong-term ratesLet output be determined according to:yt=EtXj=0j(rt+1+j r)NKM has j=1/jIrrespective of the horizon j,having rt+1+j 0),MTM moves awayf

6、rom intertemporal substitution cwt=(1 1)?Et cwt+11Et rt+1?+1?qt+h(1 2)1i1t?MTM has three channels:1Intertemporal substitution:r c,as governed by 1/2Asset valuation channel:r q c 3Asset demand channel(related to interest income that savingsare expected to generate going forward):r c Works in the diss