Negative Interest Rate Policy and the Yield Curve

Jing Cynthia Wu and Fan Dora Xia

No 25180, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summarize the immediate and longer-horizon future monetary policy stances. We find the four NIRP events lowered the short term interest rate by the same amount. The impact is dampened at longer maturities for the first two event dates due to lack of forward guidance. In contrast, in the last two dates, forward guidance drives the largest effects in two years.

JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2018-10
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Note: AP EFG ME
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Citations: View citations in EconPapers (18)

Published as Jing Cynthia Wu & Fan Dora Xia, 2020. "Negative interest rate policy and the yield curve," Journal of Applied Econometrics, vol 35(6), pages 653-672.

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Related works:
Journal Article: Negative interest rate policy and the yield curve (2020)
Working Paper: The negative interest rate policy and the yield curve (2018)
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