Expectation and duration at the effective lower bound

• 成果类型: Article
• 署名作者: King, Thomas B.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.05.009
• 发表日期: 2019
• 页码: 736-760
• 关键词: term structure; Portfolio balance; ZLB; quantitative easing; Forward guidance

摘要

With risk-averse arbitrageurs and an effective lower bound (ELB) on nominal rates, nonlinear interactions among short-rate expectations, bond supply, and term premia emerge in equilibrium. These interactions, which are absent from affine models, help explain the observed behavior of the yield curve near the ELB, including evidence about unconventional monetary policy. The impact of both short-rate expectations and bond supply are attenuated at the ELB. However, in simulations of the post-crisis experience in the U.S., shocks to investors' duration-risk exposures have much smaller effects than shocks to the anticipated path of short rates. The latter shocks matter, in part, because of the reduction in interest-rate volatility associated with a longer expected stay at the ELB a novel channel of unconventional policy. (C) 2019 Elsevier B.V. All rights reserved.