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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Year of publication:	2013
Authors:	Krippner, Leo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 1, p. 135-138
Publisher:	Elsevier
Subject:	Zero lower bound \| Shadow short rate \| Term structure model

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Type of publication:	Article
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041660