An options-based impact study of the negative interest rate policy and forward guidance

• 成果类型: Article
• 署名作者: Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; Lemke, Wolfgang; Motto, Roberto; Saint-Guilhem, Arthur
• 署名单位: European Central Bank; European Central Bank; Bank of France
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103776
• 发表日期: 2025
• 关键词: Monetary policy; Negative interest rates; Forward guidance; yield curve; Interest rate options

摘要

The effect of Negative Interest Rate Policy (NIRP) and rate Forward Guidance (FG) on the yield curve is very similar with both policies exerting their maximal impact on a same spectrum of short-to-medium term maturities. Yet, we find that their impact on the predictive interest rate distribution differs. Accommodative FG prices out high interest rate trajectories, thus affecting upper percentiles; NIRP changes the market pricing of the effective lower bound on the policy rate, thus affecting lower percentiles. Building on this evidence, we combine option-implied rate densities with event-study analysis to separate the effects of NIRP and FG. We find that the impact of the ECB's NIRP on forward rates was stronger than that of FG.