Causation

Effect of Worsening Deflation on the Real Interest Rate at the ZLB

At the zero lower bound, there is a direct relationship between the expected rate of deflation and the real interest rate. The more severe the expected deflation (i.e., the faster prices are expected to fall), the higher the real interest rate will be. This dynamic means that worsening deflationary expectations can tighten monetary conditions even when the central bank's policy rate is at zero.

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Updated 2025-10-05

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