Measuring the stance of monetary policy in zero lower bound environments

Vol: 
35/2012
Author name: 
Krippner L
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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