Lower Bound Uncertainty and Long‐Term Interest Rates
研究名义利率有效下限的不确定性如何影响长期利率，发现下限不确定性降低会压低预期短期利率，但对期限溢价的影响不确定。基于加拿大数据的校准表明，下限不确定性下降会导致利率小幅下降。
Abstract Nominal interest rates are constrained by an effective lower bound, but the level of the lower bound is uncertain. This paper uses a simple shadow rate term structure model to study how lower bound uncertainty affects long‐term interest rates. A decline in lower bound uncertainty, in the sense of a mean‐preserving contraction, is associated with a drop in expected short rates. The effect on the variance of short rates, and hence the term premium, is ambiguous. A calibration to Canadian data suggests that a decline in lower bound uncertainty is associated with a modest drop in interest rates.