Download This PaperMeasuring the Stance of Monetary Policy in Zero Lower Bound Environments
CAMA Working Paper No. 35/2012
13 Pages Posted: 19 Jul 2012 Last revised: 7 Aug 2012
Date Written: July 18, 2012
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 the results, and also discuss the extension to multiple factors.
Keywords: zero lower bound, shadow short rate, term structure model
JEL Classification: E43, G12, G13
Suggested Citation: Suggested Citation
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