Description |
1 online resource (41 pages). |
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text file |
Series |
IMF Working Papers
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IMF Working Papers.
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Contents |
Cover; Lower Bound Beliefs and Long-Term Interest Rates; 1 Introduction; 2 Theory; 3 An Event Study of Changes in the Lower Bound; 4 Conclusion; References. |
Summary |
We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that normal policy transmission is reduced when policy rates approach this lower bound. We show that if market participants revise downward the believed location of the lower bound, this may in itself reduce long-term yields. Moreover, normal policy transmission to long-term rates increases. A cross-country event study suggests that such effects have been empirically relevant during the recent negative interest rate episode. |
Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
Subject |
Monetary policy.
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Monetary policy. |
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Interest rates.
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Interest rates. |
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Interest rates -- Econometric models.
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Interest rates -- Econometric models. |
Genre/Form |
Electronic books.
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Added Author |
Krogstrup, Signe.
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Schumacher, Silvio.
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Other Form: |
Print version: Grisse, Christian. Lower Bound Beliefs and Long-Term Interest Rates. Washington, D.C. : International Monetary Fund, ©2017 9781475588224 |
ISBN |
9781475588255 (electronic book) |
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1475588259 (electronic book) |
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1475588259 |
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1475588224 |
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9781475588224 |
ISSN |
1018-5941 |
Standard No. |
10.5089/9781475588224.001 |
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