Modeling persistent interest rates with double-autoregressive processes
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DOI: 10.1016/j.jbankfin.2021.106302
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"Negative interest rate policy and the yield curve,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
- Jing Cynthia Wu & Fan Dora Xia, 2018. "Negative Interest Rate Policy and the Yield Curve," NBER Working Papers 25180, National Bureau of Economic Research, Inc.
- Dora Xia & Jing Cynthia Wu, 2018. "The negative interest rate policy and the yield curve," BIS Working Papers 703, Bank for International Settlements.
More about this item
Keywords
Yield curve; Unit roots; Cointegration; Persistence problem; Volatility-induced stationarity; Random coefficient vector autoregression; Macro-finance term structure model;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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