The Effect of the Zero Lower Bound, Forward Guidance and Unconventional Monetary Policy on Interest Rate Sensitivity to Economic News in Sweden

30 Pages Posted: 29 Jan 2014

See all articles by Richhild Moessner

Richhild Moessner

Bank for International Settlements (BIS)

Jakob de Haan

De Nederlandsche Bank; University of Groningen

David-Jan Jansen

De Nederlandsche Bank ; Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: January 27, 2014

Abstract

We study whether the sensitivity of Swedish interest rates to economic news was affected by the zero lower bound and the Riksbank's monetary policies. Our results suggest that the sensitivity of interest rate swaps to Swedish macroeconomic news was reduced at the effective zero lower bound at short maturities but not at longer maturities. We also find that the sensitivity of interest rate swaps to this news was not significantly affected at any maturity by forward guidance. Finally, we conclude that the sensitivity of interest rate swaps to news was not significantly affected at any maturity by unconventional monetary policy.

Keywords: Unconventional monetary policy; central bank communication, forward guidance, zero lower bound, interest rate swaps

JEL Classification: E52, E58

Suggested Citation

Moessner, Richhild and de Haan, Jakob and Jansen, David-Jan, The Effect of the Zero Lower Bound, Forward Guidance and Unconventional Monetary Policy on Interest Rate Sensitivity to Economic News in Sweden (January 27, 2014). De Nederlandsche Bank Working Paper No. 413, Available at SSRN: https://ssrn.com/abstract=2386705 or http://dx.doi.org/10.2139/ssrn.2386705

Richhild Moessner (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Jakob de Haan

De Nederlandsche Bank

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

University of Groningen

P.O. Box 800
9700 AH Groningen, Groningen 9700 AV
Netherlands

David-Jan Jansen

De Nederlandsche Bank ( email )

P.O. Box 98
1000 AB Amsterdam
Netherlands

HOME PAGE: http://sites.google.com/site/djansenresearch

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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