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:	2012-07
Authors:	Krippner, Leo
Institutions:	Crawford School of Public Policy, Australian National University

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Extent:	application/pdf
Series:	CAMA Working Papers.
Type of publication:	Book / Working Paper
Notes:	13 pages
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/10011201637