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

本项目旨在量化货币政策冲击作为整个利率期限结构的变化，当央行的政策利率被限制在接近零的水平。提出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将在日内公布。该项目希望加深我们对货币政策决定在接近零利率的环境下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督货币政策提供显著的好处。

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.