High-frequency Estimation of Term Structure Models at the Zero Lower Bound

零下界期限结构模型的高频估计

• 批准号: DP220100321
• 负责人: A/Prof Bonsoo Koo
• 金额: $ 21.94万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2022
• 资助国家: 澳大利亚
• 起止时间: 2022-12-30 至 2025-12-30
• 项目状态: 未结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP220100321
• 关键词: frequency; Estimation; Term; Structure; Models

This project aims to quantify monetary policy shocks as shifts of the entire term structure of interest rates, when the central bank’s policy rate is constrained at the near-zero level. The proposed method will use a high-dimensional panel of high frequency government bond data. The term structure and resultant policy shocks estimated at intra-day frequencies for major economies including Australia, will be made publicly available. This project expects to deepen our understanding of how monetary policy decisions affect the macroeconomy in a near-zero interest-rate environment. This should provide significant benefits to policymakers for implementing and monitoring monetary policy in achieving desired economic outcomes.

该项目旨在将货币政策冲击量化为整个利率期限结构的变化，即中央银行的政策利率被限制在接近于零的水平。拟议的方法将使用高频政府债券数据的高维面板。包括澳大利亚在内的主要经济体的期限结构和由此产生的政策冲击估计在日内频率，将公开公布。这个项目希望加深我们对近零利率环境下货币政策决定如何影响宏观经济的理解。这将为政策制定者在实现预期经济成果的过程中实施和监测货币政策提供重大好处。