Negative interest rate policy and the yield curve
研究了欧洲央行负利率政策对收益率曲线的影响，发现四次负利率事件均等量降低短期利率，但前两次因缺乏前瞻指引，长期影响减弱；后两次因前瞻指引，两年期效果最大。
Summary We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summarize the immediate and longer horizon future monetary policy stances. We find that the four NIRP events lowered the short‐term interest rate by the same amount. The impact is dampened at longer maturities for the first two event dates, due to lack of forward guidance. By contrast, for the last two dates, forward guidance drives the largest effects in two years.