Measuring the stance of monetary policy in zero lower bound environments
Vol:
35/2012
Year:
2012
Month:
July
Abstract:
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 results, and also discuss the extension to multiple factors.
Publication file:
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