Measuring the stance of monetary policy in zero lower bound environments

Leo Krippner

No DP2012/04, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: I propose a simple framework that quantities the stance of monetary policy as a "shadow short rate" when interest rates are near the zero lower bound. The framework is shown to be a close approximation to the Black (1995) framework for modelling the term structure subject to a zero-lower-bound constraint. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of the results, and also discuss the extension to multiple factors.

JEL-codes: E43 G12 G13 (search for similar items in EconPapers)
Pages: 13 p.
Date: 2012-10
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Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Measuring the stance of monetary policy in zero lower bound environments (2013)
Working Paper: Measuring the stance of monetary policy in zero lower bound environments (2012)
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