央行政策设定债券收益率下限

作者：

约瑟夫·加农（Joseph E. Gagnon）

奥利维尔·珍妮（Olivier Jeanne）

This paper shows that the scope for bond yields to fall below zero is strictlylimited by market expectations about how far below zero central banks are willingto set their short-term policy rates. If a central bank communicates a crediblecommitment to keeping its policy rate above a given level under all circumstances,then bond yields must be higher than that level. This result holds true even ina model in which central banks are able to depress the term premium in bondyields below zero via large-scale purchases of long-term bonds, also known asquantitative easing (QE). QE becomes less effective as bond yields approachtheir lower bound.

本文表明，债券收益率降至零以下的范围受到市场对央行愿意将其短期政策利率设定在零以下的预期的严格限制。如果中央银行传达了在任何情况下都将其政策利率保持在给定水平以上的可信承诺，则债券收益率必须高于该水平。即使在央行能够通过大规模购买长期债券（也称为量化宽松）将债券收益率的长期溢价抑制在零以下的模型中，该结果仍然成立。当债券收益率接近其下限时，量化宽松的效果将减弱。