Zero lower bound , unconventional monetary policy and indicator properties of interest rate spreads ∗

Content Provider	Semantic Scholar
Author	Hännikäinen, Jari
Copyright Year	2014
Abstract	This paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results suggest that the predictive power of some interest rate spreads have changed since the beginning of this period. In particular, the term spread has been a useful leading indicator since December 2008, but not before that. Credit spreads generally perform poorly in the zero lower bound and unconventional monetary policy period. However, the mortgage spread has been a robust predictor of economic activity over the 2003–2014 period.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://isiarticles.com/bundles/Article/pre/pdf/45109.pdf
Alternate Webpage(s)	https://mpra.ub.uni-muenchen.de/56737/1/MPRA_paper_56737.pdf
Alternate Webpage(s)	http://tampub.uta.fi/bitstream/handle/10024/95718/WP95-2014.pdf;sequence=1
Language	English
Access Restriction	Open
Subject Keyword	Arabic numeral 0 Kerrison Predictor Money
Content Type	Text
Resource Type	Article