WHAT DOES MONETARY POLICY DO TO LONG-TERM INTEREST RATES AT THE ZERO LOWER BOUND?

被引:243
作者
Wright, Jonathan H. [1 ]
机构
[1] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA
关键词
YIELD CURVE;
D O I
10.1111/j.1468-0297.2012.02556.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
This article uses a structural VAR with daily data to identify the effects of monetary policy shocks on various longer term interest rates since the federal funds rate has been stuck at the zero lower bound. The VAR is identified using the assumption that monetary policy shocks are heteroskedastic: monetary policy shocks have especially high variance on days of FOMC meetings and certain speeches, while there is otherwise nothing unusual about these days. A complementary high-frequency event-study approach is also used. I find that stimulative monetary policy shocks lower Treasury and corporate bond yields but the effects die off fairly fast.
引用
收藏
页码:F447 / F466
页数:20
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