芬兰负名义利率的传导
The Transmission of Negative Nominal Interest Rates in Finland
Journal of the European Economic Association · 2025 · [{"name": "Simon H. Kwan", "affiliation": ["Federal Reserve Bank of San Francisco"]}, {"name": "Mauricio Ulate", "affiliation": ["Federal Reserve Bank of San Francisco"]}, {"name": "Ville Voutilainen", "affiliation": ["Bank of Finland"]}]
中文摘要
摘要：尽管过去十年间多个发达经济体已实施负名义利率，但我们对这一政策工具有效性的认识仍十分有限。本文分析了2005年至2020年间，欧洲央行存款便利利率变动向芬兰抵押贷款利率的传导。我们使用月度数据，并采用三种不同的实证方法：事件研究、高频识别和暴露度量回归。研究提供了稳健证据，表明即使政策利率处于负值区间，政策利率下调仍会继续传导至抵押贷款利率，但这种传导弱于政策利率处于正值区间时的情况。
Abstract
Abstract Despite the implementation of negative nominal interest rates by several advanced economies in the last decade, there is still much we do not know about the effectiveness of this instrument. In this paper, we analyze the pass-through of the European Central Bank’s changes in the deposit facility rate to mortgage rates in Finland between 2005 and 2020. We use monthly data and three different empirical methodologies: event studies, high-frequency identification, and exposure-measure regressions. We provide robust evidence that there continues to be pass-through of a cut in the policy rate to mortgage rates even when the policy rate is in negative territory, but that this pass-through is smaller than when the policy rate is in positive territory.