Measuring the stance of monetary policy in zero lower bound environments
With interest rates near the zero lower bound, I propose a simple framework to indicate the monetary policy stance as a “shadow short rate”. I apply a one-factor model to Japan, provide associated economic intuition, and discuss multiple-factor extensions.
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- Black, Fischer, 1995. " Interest Rates as Options," Journal of Finance, American Finance Association, vol. 50(5), pages 1371-1376, December.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985.
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- 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.
- Krippner, Leo, 2013. "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, vol. 118(1), pages 135-138.
- Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," CAMA Working Papers 2012-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2012/02, Reserve Bank of New Zealand.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- 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.).
- 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.
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