Macroeconomic news and the real interest rates at the zero lower bound

2016 ◽  
Vol 48 ◽  
pp. 172-185 ◽  
Author(s):  
Ji Zhang
Keyword(s):  
Lower Bound ◽  
Interest Rates ◽  
Zero Lower Bound ◽  
Real Interest Rates ◽  
Macroeconomic News ◽  
The Real

scholarly journals Oil, Equities, and the Zero Lower Bound

2021 ◽  
Vol 13 (2) ◽  
pp. 214-253
Author(s):  
Deepa D. Datta ◽  
Benjamin K. Johannsen ◽  
Hannah Kwon ◽  
Robert J. Vigfusson
Keyword(s):  
Lower Bound ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Equity Returns ◽  
Economic Environment ◽  
Zero Lower Bound ◽  
Macroeconomic News ◽  
Nominal Interest Rates ◽  
Theoretical Predictions

From late 2008 to 2014, oil and equity returns were more positively correlated than in other periods. In addition, we show that both oil and equity returns became more responsive to macroeconomic news. We provide empirical evidence that these changes resulted from the zero lower bound (ZLB) on nominal interest rates, consistent with the theoretical predictions of a model that includes the ZLB. Although the ZLB alters the economic environment in theory, supportive empirical evidence has been lacking. Our paper provides clear evidence of the ZLB altering the economic environment. (JEL E12, E32, E43, G12, G14, Q43)

scholarly journals Low Real Interest Rates and the Zero Lower Bound

2017 ◽  
Vol 2017 (010) ◽  
Author(s):  
Stephen Williamson ◽  
Keyword(s):  
Lower Bound ◽  
Interest Rates ◽  
Zero Lower Bound ◽  
Real Interest Rates

scholarly journals Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates

2014 ◽  
Vol 104 (10) ◽  
pp. 3154-3185 ◽  
Author(s):  
Eric T. Swanson ◽  
John C. Williams
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Lower Bound ◽  
Private Sector ◽  
Interest Rates ◽  
Zero Lower Bound ◽  
Short Term ◽  
Macroeconomic Models ◽  
Monetary And Fiscal Policy ◽  
Effectiveness Of Monetary Policy

According to standard macroeconomic models, the zero lower bound greatly reduces the effectiveness of monetary policy and increases the efficacy of fiscal policy. However, private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current short-term rate. Put differently, longer-term yields matter. We show how to measure the zero bound's effects on yields of any maturity. Indeed, 1- and 2-year Treasury yields were surprisingly unconstrained throughout 2008 to 2010, suggesting that monetary and fiscal policy were about as effective as usual during this period. Only beginning in late 2011 did these yields become more constrained. (JEL E43, E52, E62)

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