Measuring the effect of the zero lower bound on medium- and longer-term interest rates

American Economic Review

Volumn 104, Issue 10, 2014, Pages 3154-3185

  Swanson, Eric T ^a   Williams, John C ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b FEDERAL RESERVE BANK OF SAN FRANCISCO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84907637354     PISSN: 00028282     EISSN: 19447981     Source Type: Journal    
DOI: 10.1257/aer.104.10.3154     Document Type: Review

References (50)

1. Altig, David, Lawrence J. Christiano, Martin Eichenbaum, and Jesper Linde. 2011. "Firm-Specific Capital, Nominal Rigidities and the Business Cycle." Review of Economic Dynamics 14 (2): 225-47.
2. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega. 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange." American Economic Review 93 (1): 38-62.
3. Aspen Publishers. 1982-2014. "Blue Chip Financial Forecasts." Monthly newsletter. http://www.aspenpublishers.com/blue-chip-publications.htm.
4. Bauer, Michael D., and Glenn D. Rudebusch. 2013. "Monetary Policy Expectations at the Zero Lower Bound." Federal Reserve Bank of San Francisco Working Paper 2013-18.
5. Bernanke, Ben S., and Vincent R. Reinhart. 2004. "Conducting Monetary Policy at Very Low Short-Term Interest Rates." American Economic Review 94 (2): 85-90.
6. Bloomberg. 2014. Bloomberg Professional (online). Subscription service. http://www.bloomberg.com/professional/ (accessed January 9, 2013).
7. Campbell, John Y., and John H. Cochrane. 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Journal of Political Economy 107 (2): 205-51.
8. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay. 1997. The Econometrics of Financial Markets. Princeton: Princeton University Press.
9. Campbell, John Y., and Robert J. Shiller. 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View." Review of Economic Studies 58 (3): 495-514.
10. Chan, K. C., G. Andrew Karolyi, Francis Longstaff, and Anthony Sanders. 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate." Journal of Finance 47 (3): 1209-27.
11. Christiano, Lawrence, Martin Eichenbaum, and Sergio Rebelo. 2011. "When Is the Government Spending Multiplier Large?" Journal of Political Economy 119 (1): 78-121.
12. Clarida, Richard, Jordi Galí, and Mark Gertler. 1999. "The Science of Monetary Policy: A New Keynesian Perspective." Journal of Economic Literature 37 (4): 1661-1707.
13. DeLong, J. Bradford, and Lawrence Summers. 2012. "Fiscal Policy in a Depressed Economy." Brookings Papers on Economic Activity 44 (1): 233-97.
14. Eggertsson, Gauti B. 2009. "What Fiscal Policy is Effective at Zero Interest Rates?" Federal Reserve Bank of New York Staff Report 402.
15. Eggertsson, Gauti B., and Paul Krugman. 2012. "Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach." Quarterly Journal of Economics 127 (3): 1469-1513.
16. Eggertsson, Gauti B., and Michael Woodford. 2003. "The Zero Interest-Rate Bound and Optimal Monetary Policy." Brookings Papers on Economic Activity 34 (1): 139-235.
17. Erceg, Christopher J., and Jesper Lindé. 2010. "Is There a Fiscal Free Lunch in a Liquidity Trap?" Board of Governors of the Federal Reserve System (U.S.) International Finance Discussion Paper 1003.
18. Fama, Eugene F., and Kenneth R. French. 1989. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics 25 (1): 23-49.
19. Federal Reserve Board. 1954-2014. "Selected Interest Rates (Daily) - H.15." http://www.federalreserve.gov/releases/h15/data.htm (accessed January 9, 2013).
20. Gagnon, Joseph, Matthew Raskin, Julie Remache, and Brian Sack. 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases." International Journal of Central Banking 7 (1): 3-43.
21. Gorovoi, Viatcheslav, and Vadim Linetsky. 2004. "Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates." Mathematical Finance 14 (1): 49-78.
22. Gürkaynak, Refet S., Andrew Levin, and Eric Swanson. 2010. "Does Inflation Targeting Anchor Long- Run Inflation Expectations? Evidence from the U.S., UK, and Sweden." Journal of the European Economic Association 8 (6): 1208-42.
23. Gürkaynak, Refet S., Brian Sack, and Eric T. Swanson. 2005a. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements." International Journal of Central Banking 1 (1): 55-93.
24. Gürkaynak, Refet S., Brian Sack, and Eric Swanson. 2005b. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implication for Macroeconomic Models." American Economic Review 95 (1): 426-36.
25. Gürkaynak, Refet S., Brian P. Sack, and Eric T. Swanson. 2007. "Market-Based Measures of Monetary Policy Expectations." Journal of Business and Economic Statistics 25 (2): 201-12.
26. Gürkaynak, Refet, Brian Sack, and Jonathan Wright. 2006-2014. "The U.S. Treasury Yield Curve: 1961 to the Present: Dataset." Federal Reserve Board Finance and Economic Discussion Series 2006-28. http://www.federalreserve.gov/pubs/feds/2006/200628/200628abs.html (accessed January 9, 2013).
27. Gürkaynak, Refet S., Brian Sack, and Jonathan H. Wright. 2007. "The U.S. Treasury Yield Curve: 1961 to the Present." Journal of Monetary Economics 54 (8): 2291-2304.
28. Hamilton, James D., and Jing Cynthia Wu. 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment." Journal of Money, Credit, and Banking 44 (S1): 3-46.
29. Hansen, Lars Peter, John Heaton, and Amir Yaron. 1996. "Finite-Sample Properties of Some Alternative GMM Estimators." Journal of Business and Economic Statistics 14 (3): 262-80.
30. Haver Analytics. 1985-2014. "MMS Survey Medians & As First Reported Data." http://www.haver.com/databaseprofiles.html#forecasts (accessed July 15, 2008).
31. Kim, Don H., and Kenneth J. Singleton. 2012. "Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields." Journal of Econometrics 170 (1): 32-49.
32. Krishnamurthy, Arvind, and Annette Vissing-Jorgensen. 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy." Brookings Papers on Economic Activity 43 (2): 215-87.
33. Krishnamurthy, Arvind, and Annette Vissing-Jorgensen. 2012. "The Aggregate Demand for Treasury Debt." Journal of Political Economy 120 (2): 233-67.
34. Kuttner, Kenneth N. 2001. "Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market." Journal of Monetary Economics 47 (3): 523-44.
35. Lettau, Martin, and Sydney C. Ludvigson. 2010. "Measuring and Modeling Variation in the Risk-Return Trade-off." In Handbook of Financial Econometrics. Vol. 1, edited by Yacine Aït-Sahalia and Lars Perter Hansen, 617-90. Amsterdam: Elsevier B.V.
36. Moore, Randell E., ed. 2008-2012. Blue Chip Financial Forecasts®. New York: Aspen Publishers.
37. Piazzesi, Monika, and Eric T. Swanson. 2008. "Futures Prices as Risk-Adjusted Forecasts of Monetary Policy." Journal of Monetary Economics 55 (4): 677-91.
38. Reifschneider, David, and John C. Willams. 2000. "Three Lessons for Monetary Policy in a Low-Inflation Era." Journal of Money, Credit, and Banking 32 (4): 936-66.
39. Sack, Brian, and Volker Wieland. 2000. "Interest-Rate Smoothing and Optimal Monetary Policy: A Review of Recent Empirical Evidence." Journal of Economics and Business 52 (1-2): 205-28.
40. Schaumburg, Ernst, and Andrea Tambalotti. 2007. "An Investigation of the Gains from Commitment in Monetary Policy." Journal of Monetary Economics 54 (2): 302-24.
41. Sims, Christopher A., and Tao Zha. 1999. "Error Bands for Impulse Responses." Econometrica 67 (5): 1113-55.
42. Swanson, Eric T. 2006. "Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?" Journal of Money, Credit, and Banking 38 (3): 791-819.
43. Swanson, Eric T. 2011. "Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2." Brookings Papers on Economic Activity 42 (1):151-208.
44. Swanson, Eric T., and John C. Williams. 2013. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates." Federal Reserve Bank of San Francisco Working Paper 2012-02.
45. Swanson, Eric T., and John C. Williams. 2014a. "Measuring the Effect of the Zero Lower Bound on Yields and Exchange Rates in the U.K. and Germany." Journal of International Economics 92 (S1): S2-21.
46. Swanson, Eric. T., and John C. Williams. 2014b. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates: Dataset." American Economic Review. http://dx.doi.org/10.1257/aer.104.10.3154.
47. Taylor, John B. 1993. "Discretion versus Policy Rules in Practice." Carnegie-Rochester Conference Series on Public Policy 39: 195-214.
48. Woodford, Michael. 2003. Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton: Princeton University Press.
49. Woodford, Michael. 2011. "Simple Analytics of the Government Expenditure Multiplier." American Economic Journal: Macroeconomics 3 (1): 1-35.
50. Wright, Jonathan H. 2012. "What Does Monetary Policy Do to Long-Term Interest Rates at the Zero Lower Bound?" Economic Journal 122 (564): F447-66.