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Replication data for: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

Version
1
Resource Type
Dataset
Creator
  • Gilchrist, Simon
  • López-Salido, David
  • Zakrajšek, Egon
Publication Date
2015-01-01
Description
  • Abstract

    This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. (JEL E31, E43, E44, E52)
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20130324 (Text)
Publications
  • Gilchrist, Simon, David López-Salido, and Egon Zakrajšek. “Monetary Policy and Real Borrowing Costs at the Zero Lower Bound.” American Economic Journal: Macroeconomics 7, no. 1 (January 2015): 77–109. https://doi.org/10.1257/mac.20130324.
    • ID: 10.1257/mac.20130324 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Gilchrist, Simon; López-Salido, David; Zakrajšek, Egon (2015): Replication data for: Monetary Policy and Real Borrowing Costs at the Zero Lower Bound. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114081V1