Dynamics of the Term Structure of Interest Rates and Monetary Policy: Is Monetary Policy Effective during Zero Interest Rate Policy?
Dynamics of the Term Structure of Interest Rates and Monetary Policy: Is Monetary Policy Effective during Zero Interest Rate Policy?
复制标题
利率期限结构与货币政策的动态：零利率政策下货币政策有效吗？
DOI：
10.1080/02664763.2013.845142
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发表时间：
2014
影响因子：
1.5
通讯作者：
Y.
中科院分区：
文献类型：
--
作者：
Ullah;W.;Matsuda;Y. and Tsukuda;Y.
货币政策的目标是短期利率;然而，在零利率政策（ZIRP）期间，收益率曲线的短端不能作为政策工具。本文基于收益率-宏观潜在因素联合模型，利用日本零利率政策的经验，实证检验了货币政策立场对利率期限结构的影响及其对真实的部门可能产生的反馈效应。分析表明，是整个利率期限结构将政策冲击传递给真实的经济，而不仅仅是利差。货币政策信号通过收益率曲线水平和斜率因素传递，刺激经济活动。曲率系数除了反映经济的周期性波动外，还作为未来通货膨胀的领先指标。此外，随着短期收益率曲线向中长期分割，政策影响力趋于降低。此外，债券市场的波动性被发现是不对称的影响，积极和消极的冲击和长期的倾向是不太敏感的随机冲击比短期。利率期限结构的预期假说在零利率期不成立。
The monetary policy targets the short rates; however, during zero interest rate policy (ZIRP), the short end of the yield curve cannot serve as a policy instrument. Relying on the joint yields-macro latent factors model, this study empirically examines the effect of monetary policy stances on term structure and the possible feedback effect on the real sector using the Japanese experience of ZIRP. The analysis indicates that it is the entire term structure that transmits the policy shocks to the real economy rather than the yield spread only. The monetary policy signals pass through the yield curve level and slope factors to stimulate the economic activity. The curvature factor, besides reflecting the cyclical fluctuations of the economy, acts as a leading indicator for future inflation. In addition, policy influence tends to be low as the short end becomes segmented toward medium/long-term of the yield curve. Furthermore, volatility in bond markets is found to be asymmetrically affected by positive and negative shocks and long end tends to be less sensitive to stochastic shocks than the short maturities. The expectation hypothesis of the term structure does not hold during the ZIRP period.