Record ID | marc_loc_2016/BooksAll.2016.part39.utf8:147218399:2563 |
Source | Library of Congress |
Download Link | /show-records/marc_loc_2016/BooksAll.2016.part39.utf8:147218399:2563?format=raw |
LEADER: 02563cam a22002897a 4500
001 2011657179
003 DLC
005 20110624084815.0
007 cr |||||||||||
008 110623s2011 mau sb 000 0 eng
010 $a 2011657179
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aHamilton, James D.
245 14 $aThe effectiveness of alternative monetary policy tools in a zero lower bound environment$h[electronic resource] /$cJames D. Hamilton, Jing Cynthia Wu.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2011.
490 1 $aNBER working paper series ;$vworking paper 16956
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/23/2011.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse arbitrageurs to develop measures of how the maturity structure of debt held by the public might affect the pricing of level, slope and curvature term-structure risk. We find these Treasury factors historically were quite helpful for predicting both yields and excess returns over 1990-2007. The historical correlations are consistent with the claim that if in December of 2006, the Fed were to have sold off all its Treasury holdings of less than one-year maturity (about $400 billion) and use the proceeds to retire Treasury debt from the long end, this might have resulted in a 14-basis-point drop in the 10-year rate and an 11-basis-point increase in the 6-month rate. We also develop a description of how the dynamic behavior of the term structure of interest rates changed after hitting the zero lower bound in 2009. Our estimates imply that at the zero lower bound, such a maturity swap would have the same effects as buying $400 billion in long-term maturities outright with newly created reserves, and could reduce the 10-year rate by 13 basis points without raising short-term yields"--National Bureau of Economic Research web site.
700 1 $aWu, Jing Cynthia.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 16956.
856 40 $uhttp://www.nber.org/papers/w16956