Lower bound beliefs and long-term interest rates /

We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that normal policy transmissio...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Grisse, Christian (Autor), Krogstrup, Signe (Autor), Schumacher, Silvio (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, [2017]
Colección:IMF working paper ; WP/17/62.
Temas:
Monetary policy.
Interest rates.
Interest rates > Econometric models.
Politique monétaire.
Taux d'intérêt.
Taux d'intérêt > Modèles économétriques.
BUSINESS & ECONOMICS > Finance.
Interest rates
Interest rates > Econometric models
Monetary policy
Acceso en línea:Texto completo
Descripción
Sumario:We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that normal policy transmission is reduced when policy rates approach this lower bound. We show that if market participants revise downward the believed location of the lower bound, this may in itself reduce long-term yields. Moreover, normal policy transmission to long-term rates increases. A cross-country event study suggests that such effects have been empirically relevant during the recent negative interest rate episode.
Notas:"March 2017."
Descripción Física:1 online resource (41 pages)
Bibliografía:Includes bibliographical references at the end of each chapters.
ISBN:9781475588255
1475588259
ISSN:1018-5941
1018-5941 ;

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