Lower bound beliefs and long-term interest rates / by Christian Grisse, Signe Krogstrup, and Silvio Schumacher.

By:

Grisse, Christian [author.]

Contributor(s):

Material type: Text

text

Media type:

computer

Carrier type:

online resource

ISBN:

9781475588255
1475588259

ISSN:

1018-5941

Subject(s): Genre/Form:

Electronic books.

Additional physical formats: Print version:: Lower Bound Beliefs and Long-Term Interest Rates.DDC classification:

332.46 23

LOC classification:

HG230.3

Online resources:

Click here to access online

Contents:

Cover; Lower Bound Beliefs and Long-Term Interest Rates; 1 Introduction; 2 Theory; 3 An Event Study of Changes in the Lower Bound; 4 Conclusion; References.

Abstract: We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that normal policy transmission is reduced when policy rates approach this lower bound. We show that if market participants revise downward the believed location of the lower bound, this may in itself reduce long-term yields. Moreover, normal policy transmission to long-term rates increases. A cross-country event study suggests that such effects have been empirically relevant during the recent negative interest rate episode.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

"March 2017."

Print version record.

Cover; Lower Bound Beliefs and Long-Term Interest Rates; 1 Introduction; 2 Theory; 3 An Event Study of Changes in the Lower Bound; 4 Conclusion; References.

We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that normal policy transmission is reduced when policy rates approach this lower bound. We show that if market participants revise downward the believed location of the lower bound, this may in itself reduce long-term yields. Moreover, normal policy transmission to long-term rates increases. A cross-country event study suggests that such effects have been empirically relevant during the recent negative interest rate episode.

Includes bibliographical references at the end of each chapters.

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