Data and Code for: "Going Negative at the Zero Lower Bound: The Effects of Negative Nominal Interest Rates"

Version
1
Resource Type
Dataset : administrative records data
Creator
  • Ulate, Mauricio (Federal Reserve Bank of San Francisco)
Publication Date
2020-12-17
Free Keywords
Banks; monetary policy; interest rates
Description
  • Abstract

    After the Great Recession several central banks started setting negative nominal interest rates in an expansionary attempt, but the effectiveness of this measure remains unclear. Negative rates can stimulate the economy by lowering the rates that commercial banks charge on loans, but they can also erode bank profitability by squeezing deposit spreads. This paper studies the effects of negative rates in a new DSGE model where banks intermediate the transmission of monetary policy. I use bank-level data to calibrate the model and find that monetary policy in negative territory is between 60% and 90% as effective as in positive territory.
Temporal Coverage
  • 1990-01-01 / 2018-12-31
    Time Period: Mon Jan 01 00:00:00 EST 1990--Mon Dec 31 00:00:00 EST 2018
  • 2018-01-01 / 2019-12-31
    Collection Date(s): Mon Jan 01 00:00:00 EST 2018--Tue Dec 31 00:00:00 EST 2019
Geographic Coverage
  • 19 Advanced Countries
Sampled Universe
The paper uses data of three types of banks: 1) Bank Holding Companies, 2) Retail & Consumer Banks, 3) Universal Commercial Banks, as collected by Fitch Solutions, in 19 countries: 1) Australia, 2) Canada, 3) Norway, 4) United States, 5) United Kingdom, 6) Switzerland, 7) Denmark, 8) Japan, 9) Sweden, 10) Austria, 11) Belgium, 12) Finland, 13) France. 14) Germany, 15) Italy, 16) Luxembourg, 17) Netherlands, 18) Portugal, 19) Spain, annually between 1990 and 2018.
Availability
Download
This study is freely available to the general public via web download.
Relations
  • Is version of
    DOI: 10.3886/E120506
Publications
  • Ulate, Mauricio. “Going Negative at the ZLB: The Effects of Negative Nominal Interest Rates.” American Economic Review, n.d.

Update Metadata: 2020-12-17 | Issue Number: 1 | Registration Date: 2020-12-17