Monetary policy moves the yield curve. What is the economic interpretation of such moves and what are their macroeconomic consequences? Applying an affine term structure model to high-frequency yield curve movements around FOMC announcements, we shed new light on these questions. Estimation is subject to restrictions addressing estimation bias in previous studies. By imposing additional structure, expectations and term premia are decomposed into three components interpreted as monetary policy action, expected path and its uncertainty. In a local projections model, the shocks identified by the three components provide insights into monetary policy transmission in the context of existing theories.

货币政策移动收益率曲线。这些举措的经济解释是什么？它们的宏观经济后果是什么？将仿射期限结构模型应用于围绕 FOMC 公告的高频收益率曲线变动，我们对这些问题有了新的了解。在以前的研究中，估计受到解决估计偏差的限制。通过施加额外的结构，预期和期限溢价被分解为三个组成部分，解释为货币政策行动、预期路径及其不确定性。在局部预测模型中，三个组成部分确定的冲击在现有理论的背景下提供了对货币政策传导的见解。