Advanced Search
MyIDEAS: Login

Measuring the stance of monetary policy in zero lower bound environments

Contents:

Author Info

Abstract

I propose a simple framework that quantities the stance of monetary policy as a "shadow short rate" when interest rates are near the zero lower bound. The framework is shown to be a close approximation to the Black (1995) framework for modelling the term structure subject to a zero-lower-bound constraint. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of the results, and also discuss the extension to multiple factors.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2012/dp12_04.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2012/04.

as in new window
Length: 13 p.
Date of creation: Oct 2012
Date of revision:
Handle: RePEc:nzb:nzbdps:2012/04

Contact details of provider:
Postal: P.O. Box 2498, Wellington
Phone: 64 4 471-3767
Fax: 64 4 471-2270
Email:
Web page: http://www.rbnz.govt.nz
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Krippner, Leo, 2013. "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, vol. 118(1), pages 135-138.
  2. Leo Krippner, 2011. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," CAMA Working Papers 2011-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
  4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  5. Antulio N. Bomfim, 2003. "Interest rates as options: assessing the markets' view of the liquidity trap," Finance and Economics Discussion Series 2003-45, Board of Governors of the Federal Reserve System (U.S.).
  6. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  7. Black, Fischer, 1995. " Interest Rates as Options," Journal of Finance, American Finance Association, vol. 50(5), pages 1371-76, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," Reserve Bank of New Zealand Discussion Paper Series DP2012/04, Reserve Bank of New Zealand.
  2. Leo Krippner, 2013. "A tractable framework for zero-lower-bound Gaussian term structure models," CAMA Working Papers 2013-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Jens H.E. Christensen & Glenn D. Rudebusch, 2013. "Estimating shadow-rate term structure models with near-zero yields," Working Paper Series 2013-07, Federal Reserve Bank of San Francisco.
  4. Leo Krippner, 2012. "A model for interest rates near the zero lower bound: An overview and discussion," Reserve Bank of New Zealand Analytical Notes series AN2012/05, Reserve Bank of New Zealand.
  5. Leo Krippner, 2013. "Efficient Jacobian evaluations for estimating zero lower bound term structure models," CAMA Working Papers 2013-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Leo Krippner, 2014. "Measuring the stance of monetary policy in conventional and unconventional environments," CAMA Working Papers 2014-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nzb:nzbdps:2012/04. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Reserve Bank of New Zealand Knowledge Centre).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.