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Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

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

No 20094, NBER Working Papers from National Bureau of Economic Research, Inc

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 2-year Treasury yield around policy announcements and changes in the 10-year Treasury yield that are orthogonal to those in the 2-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-codes: E43 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2014-05
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Published as Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.
Published as Monetary Policy and Real Borrowing Costs at the Zero Lower Bound , Simon Gilchrist, David López-Salido, Egon Zakrajšek. in Lessons from the Financial Crisis for Monetary Policy , Gertler. 2015

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Related works:
Journal Article: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (2015) 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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