Monetary Policy and the Term Structure of Interest Rates∗

  title={Monetary Policy and the Term Structure of Interest Rates∗},
  author={Federico Ravenna and Juha Sepp{\"a}l{\"a}},
  • Federico Ravenna, Juha Seppälä
  • Published 2005
We study how well a New Keynesian business cycle model can explain the observed behavior of nominal interest rates. We focus on two puzzles raised in previous literature. First, Donaldson, Johnsen, and Mehra (1990) show that while in the U.S. nominal term structure the interest rates are pro-cyclical and term spreads counter-cyclical the stochastic growth model predicts that the interest rates are counter-cyclical and term spreads pro-cyclical. Second, according to Backus, Gregory, and Zin… CONTINUE READING
Highly Influential
This paper has highly influenced 14 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 124 citations. REVIEW CITATIONS


Publications citing this paper.
Showing 1-10 of 98 extracted citations

124 Citations

Citations per Year
Semantic Scholar estimates that this publication has 124 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 60 references

Monetary Policy Over the U.S. Cycle: Evidence and Implications

P. coming. Rabanal
View 1 Excerpt
Highly Influenced

Monetary Policy and Asset Price Volatility

Ben Bernanke Mark Gertler
View 2 Excerpts
Highly Influenced

Staggered Prices in a Utility-Maximizing Framework

G. Calvo
Journal of Monetary Economics, • 1983
View 2 Excerpts
Highly Influenced

Bond Risk Premia”, American Economic Review, forthcoming

J. H. Cochrane
Piazzesi • 2005

Staggered Prices and Trend Inflation: Some Nuisances

G. Ascari
Review of Economic Dynamics, • 2004
View 1 Excerpt

The Cyclical Properties of the Term Structure of Interest Rates”, Mimeo, University of Illinois, Urbana-Champaign

J. Seppälä, L. Xie
View 1 Excerpt

Similar Papers

Loading similar papers…