The effect of the zero lower bound, forward guidance and unconventional monetary policy on interest rate sensitivity to economic news in Sweden

We study whether the sensitivity of Swedish interest rates to economic news was affected by the zero lower bound and the Riksbank.s monetary policies. Our results suggest that the sensitivity of interest rate swaps to Swedish macroeconomic news was reduced at the effective zero lower bound at short maturities but not at longer maturities. We also find that the sensitivity of interest rate swaps to this news was not significantly affected at any maturity by forward guidance. Finally, we conclude that the sensitivity of interest rate swaps to news was not significantly affected at any maturity by unconventional monetary policy.
 
Key words: Unconventional monetary policy, central bank communication, forward guidance, zero lower bound, interest rate swaps.
JEL classification: E52, E58.

Working paper no. 413