Negative Interest Rate Policy and the Influence of Macro‐Economic News on Yields

Negative Interest Rate Policy and the Influence of Macro‐Economic News on Yields

We consider the influence of domestic and U.S. macro‐economic news surprises on daily bond yields over the January 1999 to January 2018 period for four advanced negative interest rate policy (NIRP) economies—Germany, Japan, Sweden, and Switzerland. Our results suggest that the influence of macro‐eco...

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Veröffentlicht in:Journal of money, credit and banking credit and banking, 2024-08, Vol.56 (5), p.1261-1285
Hauptverfasser: FATUM, RASMUS, HARA, NAOKO, YAMAMOTO, YOHEI
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bond yields
Interest rates
macro‐economic news
NIRP
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HARA, NAOKO
YAMAMOTO, YOHEI
description We consider the influence of domestic and U.S. macro‐economic news surprises on daily bond yields over the January 1999 to January 2018 period for four advanced negative interest rate policy (NIRP) economies—Germany, Japan, Sweden, and Switzerland. Our results suggest that the influence of macro‐economic news surprises is for all four countries under study during the NIRP period nonexistent or noticeably weaker than during the preceding zero interest rate policy (ZIRP) period. Our results are consistent with the suggestion that NIRP is characterized by a lower bound that is no less constraining than the zero‐lower bound that characterizes ZIRP.
doi_str_mv 10.1111/jmcb.13006
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subjects bond yields
Interest rates
macro‐economic news
NIRP
title Negative Interest Rate Policy and the Influence of Macro‐Economic News on Yields
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