Arbeitspapier
Below the zero lower bound: a shadow-rate term structure model for the euro area
We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change over time. We estimate that it has first ranged marginally above zero, but has decreased to -11 bps in September 2014. We derive the impact of a changing lower bound on the yield curve and interpret the impact of the September 2014 ECB rate cut from this perspective. Our model matches survey forecasts of short rates and the decline in yield volatility during the low-rate period better than a benchmark affine model. We estimate that since mid-2012 the horizon when short rates are expected to exceed 25 bps again has ranged between 18 and 62 months.
- ISBN
-
978-92-899-2710-9
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1991
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
- Thema
-
lower bound
monetary policy expectations
nonlinear state space model
term structure of interest rates
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lemke, Wolfgang
Vladu, Andreea Liliana
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2866/823439
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lemke, Wolfgang
- Vladu, Andreea Liliana
- European Central Bank (ECB)
Entstanden
- 2017
Ähnliche Objekte (12)
Below the zero lower bound: A shadow-rate term structure model for the euro area
Implications of Shadow Bank Regulation for Monetary Policy at the Zero Lower Bounds
Implications of shadow ban regulation for monetary policy at the zero lower bound
Ben Bernanke and the zero bound
Inequality and the Zero Lower Bound
Below zero - the kiltie and the cold!
The transmission of interest rates shocks to Asia: Are effects different below the zero lower bound?
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Monetary policy at the zero lower bound
Fiscal Policy at the Zero Lower Bound
Changing dynamics at the zero lower bound
Impulse response analysis at the zero lower bound
Below the zero lower bound: A shadow-rate term structure model for the euro area
Implications of Shadow Bank Regulation for Monetary Policy at the Zero Lower Bounds
Implications of shadow ban regulation for monetary policy at the zero lower bound
Ben Bernanke and the zero bound
Inequality and the Zero Lower Bound
Below zero - the kiltie and the cold!
The transmission of interest rates shocks to Asia: Are effects different below the zero lower bound?
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Monetary policy at the zero lower bound
Fiscal Policy at the Zero Lower Bound
Changing dynamics at the zero lower bound
Impulse response analysis at the zero lower bound
Below the zero lower bound: A shadow-rate term structure model for the euro area
Implications of Shadow Bank Regulation for Monetary Policy at the Zero Lower Bounds
Implications of shadow ban regulation for monetary policy at the zero lower bound
Ben Bernanke and the zero bound
Inequality and the Zero Lower Bound
Below zero - the kiltie and the cold!
The transmission of interest rates shocks to Asia: Are effects different below the zero lower bound?
A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Monetary policy at the zero lower bound
Fiscal Policy at the Zero Lower Bound
Changing dynamics at the zero lower bound