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:
Updated: 20 August 2024/Responsible Officer: Crawford Engagement/Page Contact: CAMA admin