Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/212357 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 19/2016
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
Typically a constant – or zero – lower bound for interest rates is applied in shadow rate term structure models. However, euro area yield curve data suggest that a time-varying lower bound might be appropriate for the euro area. I show that this indeed is the case, i.e. a shadow rate model with time-varying lower bound outperforms the constant lower bound model in euro area data. I argue that the time-variation in the lower bound is related to the deposit facility rate and, thus, to monetary policy. This time-variation in the lower bound gives a new channel via which monetary policy may affect the yield curve in a shadow rate model. I show that the intensity of this channel depends on how tightly the lower bound restricts the yield curve, and I argue that this channel has recently become important for the euro area.
JEL: 
E43
E44
E52
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-323-117-7
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.