Dr. Egon Zakrajšek: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

V četrtek, 21. novembra 2013, ob 14:30 bo v predavalnici 2.02 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje dr. Egona Zakrajška (Federal Reserve Board, Washington, ZDA) z naslovom Monetary Policy and Real Borrowing Costs at the Zero Lower Bound (Monetarna politika in stroški posojil pri ničelni spodnji meji).

Povzetek predavanja: Using high-frequency data, we estimate the effects of U.S. monetary policy on the benchmark nominal and real interest rates and on the real borrowing costs faced by businesses and households. In addition to quantifying the effect of policy surprises on market interest rates during the conventional monetary policy regime, we also analyze the efficacy of unconventional policy actions (LSAPs and forward guidance) employed by the Federal Reserve since the target federal funds rate hit the zero lower bound (ZLB) in December 2008.

A conventional policy surprise that reduces the 2-year nominal Treasury yield 10 basis points is estimated to induce a 5 basis point decline in longer-term nominal Treasury yields and a similar decline in longer-term TIPS yields. During the ZLB period, by contrast, an unanticipated easing that has the same effect on the 2-year yield causes a 20 basis point decline in long-term nominal Treasury yields and a 18 basis point decline in TIPS yields---that is, expansionary monetary policy flattens the yield curve. The results indicate that expansionary monetary policy significantly lowers real corporate borrowing costs and that policy easings during the unconventional policy period have an effect on business borrowing costs that is three times as large as that during the conventional policy regime for a commensurate movement in the 2-year Treasury yield.

Monetary policy also reduces the real cost of household finance, as measured by movements in the real yields on mortgage-related instruments. While the pass-through from Treasury yields to real corporate bond yields is roughly one-for-one, the pass-through to household borrowing costs is substantially lower---on the order of 5 basis points for a 10 basis point decline in a comparable-maturity Treasury yield.

Vljudno vabljeni!