Measuring the Stance of Monetary Policy in Zero Lower Bound Environments

I propose a simple framework that quantifies the stance of monetary policy as a 'shadow short rate' when the term structure is near the zero lower bound. 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

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Year of publication:	2012
Authors:	Krippner, Leo
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Niedrigzinspolitik \| Low-interest-rate policy \| Messung \| Measurement \| Zinsstruktur \| Yield curve \| Japan \| Schätzung \| Estimation \| Zinspolitik \| Interest rate policy \| Geldpolitische Transmission \| Monetary transmission \| Geldpolitik \| Monetary policy

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