| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20486 |
| 来源ID | Working Paper 20486 |
| Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates | |
| Eric T. Swanson; John C. Williams | |
| 发表日期 | 2014-09-11 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | The federal funds rate has been at the zero lower bound for over four years, since December 2008. According to standard macroeconomic models, this should have greatly reduced the effectiveness of monetary policy and increased the efficacy of fiscal policy. However, these models also imply that asset prices and private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current level of the overnight rate. Thus, interest rates with a year or more to maturity are arguably more relevant for asset prices and the economy, and it is unclear to what extent those yields have been affected by the zero lower bound. In this paper, we measure the effects of the zero lower bound on interest rates of any maturity by comparing the sensitivity of those interest rates to macroeconomic news when short-term interest rates were very low to that during normal times. We find that yields on Treasury securities with a year or more to maturity were surprisingly responsive to news throughout 2008-10, suggesting that monetary and fiscal policy were likely to have been about as effective as usual during this period. Only beginning in late 2011 does the sensitivity of these yields to news fall closer to zero. We offer two explanations for our findings: First, until late 2011, market participants expected the funds rate to lift off from zero within about four quarters, minimizing the effects of the zero bound on medium- and longer-term yields. Second, the Fed's unconventional policy actions seem to have helped offset the effects of the zero bound on medium- and longer-term rates. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Fiscal Policy |
| URL | https://www.nber.org/papers/w20486 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578158 |
| 推荐引用方式 GB/T 7714 | Eric T. Swanson,John C. Williams. Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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