The signalling channel of negative interest rates

• 成果类型: Article
• 署名作者: de Groot, Oliver; Haas, Alexander
• 署名单位: University of Liverpool; Centre for Economic Policy Research - UK; University of Oxford; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.05.011
• 发表日期: 2023
• 页码: 87-103
• 关键词: Monetary policy; Taylor rule; Forward guidance; liquidity trap

摘要

Negative policy rates can convince markets that deposit rates will remain lower-for-longer, even when current deposit rates are constrained by zero. This is the signalling channel of negative interest rates. We analyse the optimality and effectiveness of negative rates in the context of this novel transmission channel. In a stylized model, we prove two necessary conditions for optimality: time-consistency and a preference for policy smoothing. In an estimated model, we show the signalling channel dominates banks' costly interest margin channel. However, the effectiveness of negative rates depends sensitively on the degree of policy inertia, level of reserves, and ZLB duration.& COPY; 2023 Elsevier B.V. All rights reserved.