CAN MONETARY POLICY INFLUENCE LONG‐TERM INTEREST RATES? IT DEPENDS
通过带有长期货币中性约束的VAR模型，发现美国货币政策能显著影响长期利率，但前提是美联储具备抗通胀可信度并锚定通胀预期。
Can monetary policy influence long‐term interest rates? Studies that have tackled this question using vector autoregressions (VARs) generally find that monetary policy's influence on long‐term interest rates is small and often statistically insignificant. Other studies, however, using a single‐equation approach, have found a robust relationship. Our study sheds new light on this question by estimating the effect of monetary policy shocks on long‐term interest rates in a VAR with long‐run monetary neutrality restrictions. We find that U.S. monetary policy can strongly influence long‐term interest rates, but only when the Federal Reserve has inflation‐fighting credibility and is able to firmly anchor inflationary expectations.