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Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields

Author

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  • Rasmus Fatum

    (Alberta School of Business, University of Alberta (E-mail: rasmus.fatum@ualberta.ca))

  • Naoko Hara

    (Deputy Director and Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: naoko.hara@boj.or.jp))

  • Yohei Yamamoto

    (Department of Economics, Hitotsubashi University (E-mail: yohei.yamamoto@econ.hit-u.ac.jp))

Abstract

We consider the influence of domestic and US macroeconomic news surprises on daily bond yields over the January 1999 to January 2018 period for four advanced Negative Interest Rate Policy (NIRP) economies - Germany, Japan, Sweden, and Switzerland. Our results suggest that the influence of macroeconomic news surprises is for all four countries under study during the NIRP period non-existent or noticeably weaker than during the preceding Zero Interest Rate Policy (ZIRP) period. Our results are consistent with the suggestion that NIRP is characterized by a lower bound that is no less constraining than the zero lower bound that characterizes ZIRP.

Suggested Citation

  • Rasmus Fatum & Naoko Hara & Yohei Yamamoto, 2019. "Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields," IMES Discussion Paper Series 19-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
    • Handle: RePEc:ime:imedps:19-e-02
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    References listed on IDEAS

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    Cited by:

    1. Jeffrey R. Campbell & Thomas B. King & Anna Orlik & Rebecca Zarutskie, 2020. "Issues Regarding the Use of the Policy Rate Tool," Finance and Economics Discussion Series 2020-070, Board of Governors of the Federal Reserve System (U.S.).
    2. Fumitaka Nakamura & Nao Sudo & Yu Sugisaki, 2021. "A Quest for Monetary Policy Shocks in Japan by High Frequency Identification," IMES Discussion Paper Series 21-E-02, Institute for Monetary and Economic Studies, Bank of Japan.

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    More about this item

    Keywords

    NIRP; Bond Yields; Macroeconomic News;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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