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Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields

Rasmus Fatum, Naoko Hara () and Yohei Yamamoto
Additional contact information
Naoko Hara: Bank of Japan

No GRU_2019_006, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

Abstract: We consider the influence of domestic and US macroeconomic news surprises on a daily bond yields over the January 1999 to January 2018 period for four advanced Negative Interest Rate Policy (NIRP) economies – Germany, Japan, Sweden, and Switzerland. Our results suggest that the influence of macroeconomic news surprises is for all four countries under study during the NIRP period non-existent or noticeably weaker than during the preceding Zero Interest Rate Policy (ZIRP) period. Our results are consistent with the suggestion that NIRP is characterized by a lower bound that is no less constraining than the zero lower bound that characterizes ZIRP.

Keywords: NIRP; Bond Yields; Macroeconomic News (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2019-02-22
New Economics Papers: this item is included in nep-mac
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https://www.cb.cityu.edu.hk/ef/doc/GRU/WPS/GRU%232019-006%20Fatum.pdf (application/pdf)

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Working Paper: Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (2019) Downloads
Working Paper: Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (2019) Downloads
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