Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates

• 成果类型: Article
• 署名作者: Swanson, Eric T.; Williams, John C.
• 署名单位: University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.10.3154
• 发表日期: 2014
• 页码: 3154-3185
• 关键词: monetary-policy; models

摘要

According to standard macroeconomic models, the zero lower bound greatly reduces the effectiveness of monetary policy and increases the efficacy of fiscal policy. However, private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current short-term rate. Put differently, longer-term yields matter. We show how to measure the zero bound's effects on yields of any maturity. Indeed, 1- and 2-year Treasury yields were surprisingly unconstrained throughout 2008 to 2010, suggesting that monetary and fiscal policy were about as effective as usual during this period. Only beginning in late 2011 did these yields become more constrained.