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首页> 外文期刊>Journal of applied statistics >Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
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Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?

机译：利率和货币政策期限结构的动态：在零利率政策期间，货币政策是否有效？

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摘要

The monetary policy targets the short rates; however, during zero interest rate policy (ZIRP), the short end of the yield curve cannot serve as a policy instrument. Relying on the joint yields-macro latent factors model, this study empirically examines the effect of monetary policy stances on term structure and the possible feedback effect on the real sector using the Japanese experience of ZIRP. The analysis indicates that it is the entire term structure that transmits the policy shocks to the real economy rather than the yield spread only. The monetary policy signals pass through the yield curve level and slope factors to stimulate the economic activity. The curvature factor, besides reflecting the cyclical fluctuations of the economy, acts as a leading indicator for future inflation. In addition, policy influence tends to be low as the short end becomes segmented toward medium/long-term of the yield curve. Furthermore, volatility in bond markets is found to be asymmetrically affected by positive and negative shocks and long end tends to be less sensitive to stochastic shocks than the short maturities. The expectation hypothesis of the term structure does not hold during the ZIRP period.
机译：货币政策的目标是短期利率。但是，在零利率政策（ZIRP）中，收益率曲线的短期不能用作政策工具。依靠联合收益-宏观潜在因素模型，本研究使用日本的ZIRP经验，对货币政策立场对期限结构的影响以及对实际部门的可能反馈影响进行了实证研究。分析表明，是整个期限结构将政策冲击传递给实体经济，而不仅仅是收益率差。货币政策信号通过收益率曲线水平和斜率因素刺激经济活动。曲率因子除了反映经济的周期性波动外，还作为未来通胀的主要指标。此外，随着短期走向收益率曲线的中/长期分段，政策影响趋于降低。此外，发现债券市场的波动受到正面和负面冲击的不对称影响，与短期债券相比，长期债券对随机冲击的敏感性较低。在ZIRP期间，术语结构的预期假设不成立。

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