Monetary policy, the term structure of interest rates and the macroeconomy.

Summary This thesis aims to provide a better understanding of the role of interest rates as a monetary policy instrument available to central banks to influence the economy. The first chapter of this thesis proposes an analysis of the transmission channel of the risk premium of the bonds of the European Central Bank's sovereign debt purchase program, focusing on aggregate macroeconomic variables. The second chapter examines the low-growth, low-inflation environment in Japan since the 1990s, via the yield curve spread. This chapter extends the concept of natural (short) interest rate to that of intermediate and long maturities, and indicates that the different monetary policy regimes of the Japanese central bank have not had a homogeneous impact on the yield curve spread and on the Japanese economy. Finally, the third chapter shows that the US Phillips curve - the structural relationship between inflation and a measure of real economic activity - is not dead, contrary to common thinking. This chapter shows that the slope of the Phillips curve is not flat, once it is filtered for supply shocks, not just cost shocks. The chapter also finds evidence that the apparent flattening of the curve can be attributed to the fact that the Federal Reserve is now targeting inflation more aggressively than in the past.