Arbeitspapier
A shadow rate without a lower bound constraint
We propose a shadow rate that measures the expansionary (contractionary) interest rate effects of unconventional monetary policies that are present when the lower bound is not binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro-area and the UK, and find that they fall (rise) when market participants expect monetary policy to become more expansionary (contractionary), and price this information into the yield curve. This ability of the shadow rate to track the stance of monetary policy is identified on announcements of policy rate cuts (hikes), balance sheet expansions (contractions) and forward guidance, with shadow rates responding timely, and in line with government bond yields. We show two applications for our shadow rate. First, we decompose shadow rate responses to monetary policy announcements into conventional and unconventional monetary policy surprises, and assess the pass-through of each type of policy to exchange rates. We find that exchange rates respond more to conventional than to unconventional monetary policy. Lastly, a counterfactual experiment in a DSGE model suggests that inflation in Sweden would have been around 0.47 percentage points lower had the Riksbank not used unconventional monetary policy since February 2015.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 355
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Central Banks and Their Policies
Monetary Policy
- Thema
-
unconventional monetary policy
monetary policy stance
term structure of interest rates
short-rate expectations
term premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Rezende, Rafael B.
Ristiniemi, Annukka
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Rezende, Rafael B.
- Ristiniemi, Annukka
- Sveriges Riksbank
Entstanden
- 2018
Ähnliche Objekte (12)
Nominal GDP targeting and the zero lower bound: Should we abandon inflation targeting?
The interest rate effects of government bond purchases away from the lower bound
Gains from wage flexibility and the zero lower bound
Seemingly irresponsible but welfare improving fiscal policy at the lower bound
On the theoretical efficacy of quantitative easing at the zero lower bound
Schweden, 1 Krone
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Geldschein, 1 Krona, 1914
The role of money in monetary policy at the lower bound
The use of cash and the size of the shadow economy in Sweden
The monetary policy decision-making process and the term structure of interest rates
Nominal GDP targeting and the zero lower bound: Should we abandon inflation targeting?
The interest rate effects of government bond purchases away from the lower bound
Gains from wage flexibility and the zero lower bound
Seemingly irresponsible but welfare improving fiscal policy at the lower bound
On the theoretical efficacy of quantitative easing at the zero lower bound
Schweden, 1 Krone
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Geldschein, 1 Krona, 1914
The role of money in monetary policy at the lower bound
The use of cash and the size of the shadow economy in Sweden
The monetary policy decision-making process and the term structure of interest rates
Nominal GDP targeting and the zero lower bound: Should we abandon inflation targeting?
The interest rate effects of government bond purchases away from the lower bound
Gains from wage flexibility and the zero lower bound
Seemingly irresponsible but welfare improving fiscal policy at the lower bound
On the theoretical efficacy of quantitative easing at the zero lower bound
Schweden, 1 Krone
Schweden, 1 Krone
Geldschein, 1 Krona, 1874
Geldschein, 1 Krona, 1914
The role of money in monetary policy at the lower bound
The use of cash and the size of the shadow economy in Sweden