The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.
What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?
Abstract
This article uses a structural VAR with daily data to identify the effects of monetary policy shocks on various longer term interest rates since the federal funds rate has been stuck at the zero lower bound. The VAR is identified using the assumption that monetary policy shocks are heteroskedastic: monetary policy shocks have especially high variance on days of FOMC meetings and certain speeches, while there is otherwise nothing unusual about these days. A complementary high‐frequency event‐study approach is also used. I find that stimulative monetary policy shocks lower Treasury and corporate bond yields but the effects die off fairly fast.
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Cites
Sims, C. A. (1980) · Econometrica · doi:10.2307/1912017 · Cited by 12,727
Illiquidity and stock returns: cross-section and time-series effects
Amihud, Y. (2002) · Journal of Financial Markets · doi:10.1016/s1386-4181(01)00024-6 · Cited by 9,963
Politis, D. N., & Romano, J. P. (1994) · Journal of the American Statistical Association · doi:10.1080/01621459.1994.10476870 · Cited by 2,649
What explains the stock market’s reaction to federal reserve policy?
BERNANKE, B. S., & KUTTNER, K. N. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00760.x · Cited by 2,384
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
Kuttner, K. N. (2001) · Journal of Monetary Economics · doi:10.1016/s0304-3932(01)00055-1 · Cited by 2,049
Gürkaynak, R. S., Sack, B., & Swanson, E. T. (2004) · Finance and Economics Discussion Series · doi:10.17016/feds.2004.66 · Cited by 1,560
Alternative explanations of the money-income correlation
Bernanke, B. S. (1986) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(86)90037-0 · Cited by 1,497
The U.S. Treasury yield curve: 1961 to the present
Gürkaynak, R. S., Sack, B., & Wright, J. H. (2007) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2007.06.029 · Cited by 1,331
Self-citationThe Effects of Monetary Policy Shocks: Evidence from the Flow of Funds
Christiano, L. J., Eichenbaum, M., & Evans, C. (1996) · The Review of Economics and Statistics · doi:10.2307/2109845 · Cited by 1,208
Forecasting and Conditional Projection Using Realistic Prior Distributions
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Cited by
Measuring the macroeconomic impact of monetary policy at the zero lower bound
WU, J. C., & XIA, F. D. (2016) · Journal of Money, Credit and Banking · doi:10.1111/jmcb.12300 · Cited by 1,842
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
Swanson, E. T. (2021) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2020.09.003 · Cited by 600
The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy
Krishnamurthy, A., & Vissing-Jorgensen, A. (2011) · National Bureau of Economic Research · doi:10.3386/w17555 · Cited by 412
The Signaling Channel for Federal Reserve Bond Purchases
Francisco, F. R. B. O. S., Bauer, M. D., Rudebusch, G. D., & Francisco, F. R. B. O. S. (2013) · Federal Reserve Bank of San Francisco, Working Paper Series · doi:10.24148/wp2011-21 · Cited by 303
COVID-19-induced shocks and uncertainty
Miescu, M., & Rossi, R. (2021) · European Economic Review · doi:10.1016/j.euroecorev.2021.103893 · Cited by 45
Metadata
- Authors
- Wright, J. H.
- Venue
- The Economic Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2012-10-29
- Volume
- 122
- Issue
- 564
- Pages
- F447-F466
- ISSN
- 0013-0133 (ISSN-L)
- 1468-0297
- OpenAlex
- W1577018397
- Cited by
- 527
- References
- 28
- FWCI
- 111.18
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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