What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices

• 成果类型: Article
• 署名作者: Mertens, Thomas M.; Williams, John C.
• 署名单位: Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181461
• 发表日期: 2021
• 页码: 2473-2505
• 关键词: monetary-policy; natural rate; inflation

摘要

This paper analyzes the effects of the lower bound for interest rates on the distributions of inflation and interest rates. In a New Keynesian model with a lower bound, two equilibria emerge: policy is mostly unconstrained in the target equilibrium, whereas policy is mostly constrained in the liquidity trap equilibrium. Using options data on interest rates and inflation, we find forecast densities consistent with the target equilibrium and find no evidence in favor of the liquidity trap equilibrium. The lower bound has a sizable effect on the distribution of interest rates, but its impact on inflation is relatively modest.