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Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields

Abstract:

We consider the influence of domestic and US macroeconomic 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 macroeconomic news surprises is for all four countries under study during the NIRP period non-existent 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.

The article, Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields, co-authored by Rasmus Fatum is a forthcoming publication in the Journal of Money, Credit and Banking.

Rasmus Fatum is Research Associate at the Globalization and Monetary Policy Institute at the Federal Reserve Bank of Dallas, and at the Economic Policy Research Unit (EPRU) at the Department of Economics, University of Copenhagen. He is currently Research Advisor to the Bank for International Settlements (BIS). Dr. Fatum has been visiting scholar at the Bank of Japan’s Institute for Monetary and Economic Studies and at the Federal Reserve Bank of St. Louis. He serves on the editorial board of the Journal of International Money and Finance.

Dr. Fatum’s research focuses on international finance, in particular exchange rate regimes and exchange rate determination, and monetary policy and exchange rate management. Recent outlets for his research include Journal of International Economics, Journal of Money, Credit and Banking, and Journal of International Money and Finance.