American Economic Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
American Economic Journal: Macroeconomics
(pp. 77–109)
Abstract
This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. (JEL E31, E43, E44, E52)Citation
Gilchrist, Simon, David López-Salido, and Egon Zakrajšek. 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound." American Economic Journal: Macroeconomics 7 (1): 77–109. DOI: 10.1257/mac.20130324Additional Materials
JEL Classification
- E31 Price Level; Inflation; Deflation
- E43 Interest Rates: Determination, Term Structure, and Effects
- E44 Financial Markets and the Macroeconomy
- E52 Monetary Policy