کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
967267 931184 2006 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The expectations hypothesis of the term structure when interest rates are close to zero
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The expectations hypothesis of the term structure when interest rates are close to zero
چکیده انگلیسی
In an economy where cash can be stored costlessly in nominal terms, the nominal interest rate is bounded below by zero. This paper derives the implications of this non-negativity constraint for the term structure and shows that it induces a nonlinear and convex relation between short- and long-term interest rates. The long-term rate responds asymmetrically to changes in the short-term rate, and by less than that is predicted by the benchmark linear model. In particular, a decrease in the short-term rate produces a smaller response in the long-term rate than an increase of the same magnitude. The empirical predictions of the model are examined using data from Japan.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 53, Issue 7, October 2006, Pages 1409-1424
نویسندگان
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