基于期权的负利率政策影响与前瞻指引研究

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2025-04-04 DOI:10.1016/j.jmoneco.2025.103776

Massimo Rostagno , Carlo Altavilla , Giacomo Carboni , Wolfgang Lemke , Roberto Motto , Arthur Saint-Guilhem

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引用次数: 0

摘要

负利率政策（NIRP）和利率前瞻指导（FG）对收益率曲线的影响非常相似，这两种政策对同一中短期期限的影响都是最大的。然而，我们发现它们对预测利率分布的影响是不同的。宽松的金融价格排除了高利率轨迹，从而影响了较高的百分位数；负利率政策改变了政策利率有效下限的市场定价，从而影响到较低的百分位数。在此证据的基础上，我们将期权隐含的利率密度与事件研究分析相结合，以分离NIRP和FG的影响。我们发现，欧洲央行NIRP对远期利率的影响强于FG。

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An options-based impact study of the negative interest rate policy and forward guidance

The effect of Negative Interest Rate Policy (NIRP) and rate Forward Guidance (FG) on the yield curve is very similar with both policies exerting their maximal impact on a same spectrum of short-to-medium term maturities. Yet, we find that their impact on the predictive interest rate distribution differs. Accommodative FG prices out high interest rate trajectories, thus affecting upper percentiles; NIRP changes the market pricing of the effective lower bound on the policy rate, thus affecting lower percentiles. Building on this evidence, we combine option-implied rate densities with event-study analysis to separate the effects of NIRP and FG. We find that the impact of the ECB's NIRP on forward rates was stronger than that of FG.

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.