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What does Monetary Policy do to Long-term Interest Rates at the Zero Lower Bound?

The Economic journal (London), 2012-11, Vol.122 (564), p.F447-F466 [Peer Reviewed Journal]

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Title:
What does Monetary Policy do to Long-term Interest Rates at the Zero Lower Bound?
Author: Wright, Jonathan H.
Subjects: Corporate bonds ; Economic shock ; FEATURE: UNCONVENTIONAL MONETARY POLICY AFTER THE FINANCIAL CRISIS ; Federal funds rate ; Federal Reserve monetary policy ; Interest rates ; Long term ; Monetary policy ; Mortgage backed securities ; Quantitative easing ; Speeches ; Statistical variance ; Studies ; Treasury ; Variance ; Vector autoregression ; Vector-autoregressive models ; Yield ; Zero bound
Is Part Of: The Economic journal (London), 2012-11, Vol.122 (564), p.F447-F466
Description: This article uses a structural VAR with daily data to identify the effects of monetary policy shocks on various longer term interest rates since the federal funds rate has been stuck at the zero lower bound. The VAR is identified using the assumption that monetary policy shocks are heteroskedastic: monetary policy shocks have especially high variance on days of FOMC meetings and certain speeches, while there is otherwise nothing unusual about these days. A complementary high-frequency event-study approach is also used. I find that stimulative monetary policy shocks lower Treasury and corporate bond yields but the effects die off fairly fast.
Publisher: Oxford, UK: Blackwell Publishing Ltd
Language: English
Identifier: ISSN: 0013-0133
EISSN: 1468-0297
DOI: 10.1111/j.1468-0297.2012.02556.x
CODEN: ECJOAB
Source: Alma/SFX Local Collection

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