Past Event

Nuffield Econometric/INET Seminar - Cynthia Wu

Cynthia Wu (Chicago Booth University) will present the following paper in Seminar room C: "Time-Varying Lower Bound of Interest Rates in Europe".

Abstract:

We study the effectiveness of negative interest rate policy on the yield curve with a new shadow-rate term structure model. We price bonds with forward-looking agents in a model with a discrete policy rate and a non-constant spread between it and short term government bond yields. Our model matches the yield data, and we find increasing and decreasing the lower bound have asymmetric effects on the yield curve. A 10 basis-point drop in the lower bound lowers the 10-year yield by 6.5 to 8.5 basis points, and a 10 basis-point initial rise increases it by 9 to 14 basis points.

Paper: 

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2946239

Meetings and dinner: 

If you would like to meet the speaker please sign-up using the following link: http://doodle.com/poll/w5w8ki9vb57kmkdr
Please enter your full name and sign-up by Tuesday 4pm.
 

Details:

09 June 2017 14:15 - 15:15


Location

Department of Economics

Department of Economics, Manor Road Building, Manor Road, Oxford, OX1 3UQ