With a little help from my friends
survey-based derivation of euro area short rate expectations at the effective lower bound
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Beschreibung
The estimation of dynamic term structure models (DTSMs) turns out to be
challenging in the presence of a small sample. It is exacerbated if the sample is
characterized by a prolonged period of low interest rates near a time-varying e ective
lower bound. These challenges all weigh heavily when estimating a DTSM for
the euro area OIS yield curve sample. Against this background, we propose a
shadow-rate term structure model (SRTSM) that includes a time-varying e ective
lower bound accounting for the spread between the policy and short-term OIS rate
and it also allows for future changes in the e ective lower bound. In addition, it
incorporates survey information in order to pin down the level of longer-term rate
expectations. The model allows to adequately assess short-term monetary policy
rate expectations and it generates far-distant rate expectations that are correlated
with an estimated equilibrium nominal short rate derived from a macroeconomic
model set-up. Our results also highlight the signaling channel of non-standard
monetary policy shocks in the run-up to asset purchases based on high frequency
identi cation approach. Our model outperforms DTSM speci cations without above
modeling features from a statistical and economic perspective. We con rm our
ndings employing a Monte Carlo simulation.
steht auch als elektronisches Dokument zur Verfügung (ISBN 978-3-95729-481-4)
Autor*in
Felix Geiger
Themen in »With a little help from my friends«
Euroraum Zinsstrukturkurve Zinsstrukturmodell