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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. (JEL E43, E51, E52)