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The zero lower bound and movements in the term structure of interest rates

Christian Grisse ()

Economics Letters, 2015, vol. 131, issue C, 66-69

Abstract: The expectations hypothesis of the term structure implies a nonlinear relationship between short- and long-term rates if nominal interest rates are constrained by the zero lower bound (ZLB). This note finds limited evidence for such nonlinearities in the US term structure. The sensitivity of medium-term yields to short rate movements declined, but there is no evidence for asymmetric responses to positive versus negative short rate changes.

Keywords: Monetary policy; Zero lower bound; Yield curve (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.econlet.2015.03.039

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