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Abstract This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of the impacts of these unconventional instruments of monetary policy is challenging. We propose a novel identification approach that seeks to overcome this challenge by combining a dense, controlled event study with forward curve counterfactuals that we construct using predictive rate densities derived from rate options. We find that NIRP has exerted a sizeable influence on the term structure of interest rates throughout maturities while, on net, the impact of rate FG has been more muted. QE explains the lion’s share of yield effects, particularly over the back end of the yield curve. We then feed these rate counterfactuals into a large-scale Bayesian VAR and generate alternative his

Economics departmentMonetary policy strategy divisionHead of divisionMonetary policy research divisionAnalysis divisionDeutsche bundesbankMonetary policyUniversity of bielefeldCapital markets financial structure divisionFinancial structureCapital marketsFinancial structure divisionMonetary policy researchபொருளாதாரம் துறைபண பாலிஸீ மூலோபாயம் பிரிவுதலை ஆஃப் பிரிவு