Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154424 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ECB Working Paper No. 1991
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change over time. We estimate that it has first ranged marginally above zero, but has decreased to -11 bps in September 2014. We derive the impact of a changing lower bound on the yield curve and interpret the impact of the September 2014 ECB rate cut from this perspective. Our model matches survey forecasts of short rates and the decline in yield volatility during the low-rate period better than a benchmark affine model. We estimate that since mid-2012 the horizon when short rates are expected to exceed 25 bps again has ranged between 18 and 62 months.
Schlagwörter: 
lower bound
monetary policy expectations
nonlinear state space model
term structure of interest rates
JEL: 
C32
E43
E52
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2710-9
Dokumentart: 
Working Paper

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