Measuring the Effect of the Zero Lower Bound on Monetary Policy

Carlos Carvalho, EriC Hsu and Fernanda Necchio
Additional contact information
EriC Hsu: UC Berkeley
Fernanda Necchio: FRB San Francisco

No 649, Textos para discussão from Department of Economics PUC-Rio (Brazil)

Abstract: The Zero Lower Bound (ZLB) on interest rates is often regarded as an important constraint on monetary policy. To assess how the ZLB affected the Fed's ability to conduct policy, we estimate the effects of Fed communication on yields of different maturities in the pre-ZLB and ZLB periods. Before the ZLB period, communication affects both short- and long-dated yields. In contrast, during the ZLB period, the reaction of yields to communication is concentrated in longer-dated yields. Our findings support the view that the ZLB did not put such a critical constraint on monetary policy, as the Fed retained some ability to affect long-term yields through communication.

Pages: 28p
Date: 2016-04
New Economics Papers: this item is included in nep-cba, nep-ger, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://www.econ.puc-rio.br/uploads/adm/trabalhos/files/td649.pdf (application/pdf)

Related works:
Working Paper: Measuring the effect of the zero lower bound on monetary policy (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rio:texdis:649

Access Statistics for this paper

More papers in Textos para discussão from Department of Economics PUC-Rio (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by ().