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

Rasmus Fatum, Naoko Hara and Yohei Yamamoto

No 19-E-02, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: We consider the influence of domestic and US macroeconomic news surprises on 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)
Date: 2019-02
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Negative Interest Rate Policy and the Influence of Macro‐Economic News on Yields (2024)
Working Paper: Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (2019)
Working Paper: Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:19-e-02

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