Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

• 成果类型: Article
• 署名作者: Gilchrist, Simon; Lopez-Salido, David; Zakrajsek, Egon
• 署名单位: Boston University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20130324
• 发表日期: 2015
• 页码: 77-109
• 关键词: asset purchase programs; term interest-rates; corporate bond market; yield curve; RISK; transmission; forecasts; IMPACT; US

摘要

This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields.