Measuring the stance of monetary policy in zero lower bound environments

Leo Krippner

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: I propose a simple framework that quantifies the stance of monetary policy as a “shadow short rate” when the term structure is near the zero lower bound. I demonstrate my framework with a one-factor model applied to Japanese data, including an intuitive economic interpretation of results, and also discuss the extension to multiple factors.

JEL-codes: E43 G12 G13 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2012-07
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Citations: View citations in EconPapers (11)

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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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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2012-35

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