The Effects of Negative Interest Rates on Equity and Currency Markets

Seungho Lee, Lorne Switzer

Research output: Contribution to conferenceUnpublished paperpeer-review


This paper examines the effects of negative interest rate policies (NIRP) on foreign exchange and equity markets of eight European countries and Japan. NIRP announcement effects on currency depreciation are shown to be transitory and country dependent. In contrast, on the day of NIRP implementation, both currency and equity market returns reacted negatively across countries, with little evidence of overreaction or underreaction. Significant covered interest arbitrage opportunities in the currency markets of EU countries over the period of NIRP are observed. These findings suggest that monetary policy that involves lowering interest rates below zero is neither stimulative nor efficiency enhancing.
Original languageEnglish
Publication statusSubmitted - 24 Aug 2020
EventParis Finance December Meeting 2020 - INSTITUT EUROPLACE DE FINANCE, Paris, France
Duration: 17 Dec 202017 Dec 2020


ConferenceParis Finance December Meeting 2020
Abbreviated titlePFDM
Internet address


  • negative interest rates
  • monetary policy
  • exchange rates
  • equity returns


Dive into the research topics of 'The Effects of Negative Interest Rates on Equity and Currency Markets'. Together they form a unique fingerprint.

Cite this