BIS paper uses ‘shadow rate’ to study market expectations

The Bank for International Settlements, Basel
The Bank for International Settlements
Photo: Ulrich Roth

Research published by the Bank for International Settlements presents a new approach to estimating market expectations on negative interest rates using the concept of a “shadow rate”.

The approach outlined by Fan Dora Xia and Jing Cynthia Wu in their working paper draws on the idea of a “shadow rate” – a hypothetical short-term interest rate that would hold if rates were not constrained by a lower bound. Their paper differs from others in studying the eurozone and allowing the lower bound to

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

Register for Central Banking

All fields are mandatory unless otherwise highlighted

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account

.