但这并不是市场所反应的现象。德意志银行经济学家指出，其实在美联储首次加息之前，实际上已经在收紧货币政策。这些经济学家表示，德意志银行旗下模型所计算的影子利率在过去3个月里上升了85个基点。德意志银行经济学家称，这将达到历史上涨幅最高的前5%。影子利率是一个模型数据，旨在将收益率曲线的信号映射为联邦基金利率的等效利率。在这些「零利率下限」环境下，许多研究人员使用影子利率模型来描述利率期限结构或量化货币政策立场。
The shadow interest rate of the US federal funds rate is affecting the market first.
Is the Fed loosening or tightening policy?
On the face of it, the federal funds rate is still near zero, and the Fed is still buying $20 billion of Treasuries and $10 billion of mortgage bonds this month.
But this is not the phenomenon that the market reacts to. Deutsche Bank economists point out that monetary policy was actually being tightened before the Fed raised interest rates for the first time. The shadow interest rates calculated by Deutsche Bank's models have risen by 85 basis points in the past three months, the economists said. Economists at Deutsche Bank say this will reach the top 5% of the highest increase in history. The shadow interest rate is a model data that aims to map the signal of the yield curve to the equivalent interest rate of the federal funds rate. In these "zero interest rate lower bound" environments, many researchers use shadow interest rate models to describe the term structure of interest rates or to quantify monetary policy positions.
Deutsche Bank economists said: "the recent rise in shadow interest rates we calculated has brought it into positive territory for the first time since the outbreak. This trend can be interpreted as a signal from the yield curve: the direction in which the US monetary policy stance has adjusted in recent months. "
Second, the "Wu-Xia shadow rate", the more widely used shadow rate, has risen 1.5 per cent to-0.02 per cent since October, the biggest three-month increase since 1994, although the index has not yet reached a positive level, Zhitong Financial APP has learned.
Deutsche Bank economists said: "as a result, while much remains to be done to tighten the financial environment through stricter monetary policy, through the recent shift in policy stance, the Fed has been able to initiate this policy tightening process. "
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