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Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

Simon Gilchrist (), David Lopez-Salido () and Egon Zakrajsek ()

American Economic Journal: Macroeconomics, 2015, vol. 7, issue 1, 77-109

Abstract: This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. (JEL E31, E43, E44, E52)

JEL-codes: E31 E43 E44 E52 (search for similar items in EconPapers)
Date: 2015
Note: DOI: 10.1257/mac.20130324
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Related works:
Working Paper: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (2014) Downloads
Working Paper: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (2014) Downloads
Working Paper: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (2014) Downloads
Chapter: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (2013)
Working Paper: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (2013) Downloads
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