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Term structure models and the zero bound: An empirical investigation of Japanese yields
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Cited by:
- Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020.
"The term structure and inflation uncertainty,"
Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
- Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
- Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
- King, Thomas B., 2019.
"Expectation and duration at the effective lower bound,"
Journal of Financial Economics, Elsevier, vol. 134(3), pages 736-760.
- Thomas B. King, 2016. "Expectation and Duration at the Effective Lower Bound," Working Paper Series WP-2016-21, Federal Reserve Bank of Chicago.
- Bauer, Michael D. & Neely, Christopher J., 2014.
"International channels of the Fed's unconventional monetary policy,"
Journal of International Money and Finance, Elsevier, vol. 44(C), pages 24-46.
- Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Papers 2012-028, Federal Reserve Bank of St. Louis.
- Michael D. Bauer & Christopher J. Neely, 2012. "International channels of the Fed’s unconventional monetary policy," Working Paper Series 2012-12, Federal Reserve Bank of San Francisco.
- Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2015.
"A probability-based stress test of Federal Reserve assets and income,"
Journal of Monetary Economics, Elsevier, vol. 73(C), pages 26-43.
- Christensen, Jens H. E. & Lopez, Jose A. & Rudebusch, Glenn D., 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Papers 14-01, University of Pennsylvania, Wharton School, Weiss Center.
- Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
- Koeda, Junko, 2013.
"Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields,"
Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 170-188.
- Junko Koeda, 2012. "Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields," CARF F-Series CARF-F-303, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Apr 2013.
- Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022.
"Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement,"
Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
- Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2019. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Working Paper Series 2018-9, Federal Reserve Bank of San Francisco.
- Coroneo, Laura & Pastorello, Sergio, 2020.
"European spreads at the interest rate lower bound,"
Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
- Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
- Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
- Mehmet Pasaogullari, 2015. "Forecasts from Reduced-form Models under the Zero-Lower-Bound Constraint," Working Papers (Old Series) 1512, Federal Reserve Bank of Cleveland.
- Leo Krippner, 2014. "Measuring the stance of monetary policy in conventional and unconventional environments," CAMA Working Papers 2014-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Sarah Mouabbi & Jean‐Guillaume Sahuc, 2019.
"Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 831-858, June.
- Sarah Mouabbi & Jean-Guillaume Sahuc, 2019. "Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies," Working papers 708, Banque de France.
- Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," EconomiX Working Papers 2019-2, University of Paris Nanterre, EconomiX.
- Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," Working Papers hal-04141890, HAL.
- Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," Post-Print hal-02055111, HAL.
- Eric T. Swanson & John C. Williams, 2014.
"Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates,"
American Economic Review, American Economic Association, vol. 104(10), pages 3154-3185, October.
- John Williams & Eric Swanson, 2012. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," 2012 Meeting Papers 462, Society for Economic Dynamics.
- Eric T. Swanson & John C. Williams, 2012. "Measuring the effect of the zero lower bound on medium- and longer-term interest rates," Working Paper Series 2012-02, Federal Reserve Bank of San Francisco.
- Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," NBER Working Papers 20486, National Bureau of Economic Research, Inc.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2016.
"Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 75-125,
Emerald Group Publishing Limited.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2013. "Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?," Working Paper Series 2013-39, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2014.
"The Signaling Channel for Federal Reserve Bond Purchases,"
International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
- Michael D. Bauer & Glenn D. Rudebusch, 2011. "The signaling channel for Federal Reserve bond purchases," Working Paper Series 2011-21, Federal Reserve Bank of San Francisco.
- Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2019. "Bond Flows and Liquidity: Do Foreigners Matter?," Working Paper Series 2019-08, Federal Reserve Bank of San Francisco.
- Dubiel-Teleszynski, Tomasz & Kalogeropoulos, Konstantinos & Karouzakis, Nikolaos, 2024. "Sequential learning and economic benefits from dynamic term structure models," LSE Research Online Documents on Economics 123659, London School of Economics and Political Science, LSE Library.
- Schupp, Fabian, 2020.
"The (ir)relevance of the nominal lower bound for real yield curve analysis,"
Working Paper Series
2476, European Central Bank.
- Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
- Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing corporate bonds with interest rates following double square-root process," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-31, September.
- Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017.
"Term Structure Analysis with Big Data,"
Working Paper Series
2017-21, Federal Reserve Bank of San Francisco.
- Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
- Ichiue, Hibiki & Ueno, Yoichi, 2015. "Monetary policy and the yield curve at zero interest," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 1-12.
- Andreasen, Martin M & Meldrum, Andrew, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.
- Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2017. "Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium," Finance Research Letters, Elsevier, vol. 21(C), pages 100-106.
- Schupp, Fabian & Geiger, Felix, 2018.
"With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181529, Verein für Socialpolitik / German Economic Association.
- Geiger, Felix & Schupp, Fabian, 2018. "With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound," Discussion Papers 27/2018, Deutsche Bundesbank.
- Leo Krippner, 2013.
"A tractable framework for zero-lower-bound Gaussian term structure models,"
CAMA Working Papers
2013-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Leo Krippner, 2013. "A tractable framework for zero lower bound Gaussian term structure models," Reserve Bank of New Zealand Discussion Paper Series DP2013/02, Reserve Bank of New Zealand.
- Taisuke Nakata & Hiroatsu Tanaka, 2020. "Equilibrium Yield Curves and the Interest Rate Lower Bound," CARF F-Series CARF-F-482, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Mikhail Chernov & Drew Creal, 2023.
"International Yield Curves and Currency Puzzles,"
Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
- Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
- Jing Cynthia Wu & Fan Dora Xia, 2016.
"Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 253-291, March.
- Jing Cynthia Wu & Fan Dora Xia, 2014. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," NBER Working Papers 20117, National Bureau of Economic Research, Inc.
- Istrefi, Klodiana & Mouabbi, Sarah, 2018.
"Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis,"
Journal of International Money and Finance, Elsevier, vol. 88(C), pages 296-313.
- Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- S. Fries & J.-S. Mésonnier & S. Mouabbi & J.-P. Renne, 2016. "National natural rates of interest and the single monetary policy in the Euro Area," Working papers 611, Banque de France.
- Christensen, Jens H.E. & Lopez, Jose A. & Mussche, Paul L., 2024.
"International evidence on extending sovereign debt maturities,"
Journal of International Money and Finance, Elsevier, vol. 141(C).
- Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021. "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series 2021-19, Federal Reserve Bank of San Francisco.
- Yutaka Kurihara, 2016. "Term Structure of Interest Rates under Zero or Low Bound: The Recent Japanese Case," Economy, Asian Online Journal Publishing Group, vol. 3(1), pages 19-23.
- Wali Ullah & Yasumasa Matsuda, 2014. "Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?," TERG Discussion Papers 312, Graduate School of Economics and Management, Tohoku University.
- Christensen, Jens H.E. & Spiegel, Mark M., 2023.
"Central bank credibility during COVID-19: Evidence from Japan,"
Journal of International Money and Finance, Elsevier, vol. 131(C).
- Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
- Christensen, Jens H. E. & Zhang, Xin, 2024. "Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy," Working Paper Series 434, Sveriges Riksbank (Central Bank of Sweden).
- Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
- Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2022.
"Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1637-1671, September.
- Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a nonlinear new Keynesian model with the zero lower bound for Japan," CAMA Working Papers 2018-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2018. "Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan," Working Papers e120, Tokyo Center for Economic Research.
- Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2020. "Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan," Working Papers e154, Tokyo Center for Economic Research.
- Marcello Pericoli & Marco Taboga, 2022.
"Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
- Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
- Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian, 2021. "What model for the target rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-23, February.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2015.
"Estimating Shadow-Rate Term Structure Models with Near-Zero Yields,"
Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 226-259.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2013. "Estimating Shadow-Rate Term Structure Models with Near-Zero Yields," Working Paper Series 2013-07, Federal Reserve Bank of San Francisco.
- Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
- Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
- Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
- Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022.
"Tractable Term Structure Models,"
Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
- Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015. "Tractable Term Structure Models," Staff Working Papers 15-46, Bank of Canada.
- Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012.
"Extracting Deflation Probability Forecasts from Treasury Yields,"
International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
- Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011. "Extracting deflation probability forecasts from Treasury yields," Working Paper Series 2011-10, Federal Reserve Bank of San Francisco.
- Mohsan Bilal, 2017. "Zeroing in: Asset Pricing at the Zero Lower Bound," 2017 Meeting Papers 377, Society for Economic Dynamics.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018.
"UK term structure decompositions at the zero lower bound,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
- Peter Hördahl & Oreste Tristani, 2019.
"Modelling yields at the lower bound through regime shifts,"
BIS Working Papers
813, Bank for International Settlements.
- Hördahl, Peter & Tristani, Oreste, 2019. "Modelling yields at the lower bound through regime shifts," Working Paper Series 2320, European Central Bank.
- Kazuhiro Hiraki & Wataru Hirata, 2020. "Market-based Long-term Inflation Expectations in Japan: A Refinement on Breakeven Inflation Rates," Bank of Japan Working Paper Series 20-E-5, Bank of Japan.
- Renne Jean-Paul, 2017.
"A model of the euro-area yield curve with discrete policy rates,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
- Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
- Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2023. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.
- Michael D. Bauer, 2018.
"Restrictions on Risk Prices in Dynamic Term Structure Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 196-211, April.
- Michael D. Bauer, 2011. "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
- Michael D. Bauer, 2015. "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series 5241, CESifo.
- Krippner, Leo, 2013.
"Measuring the stance of monetary policy in zero lower bound environments,"
Economics Letters, Elsevier, vol. 118(1), pages 135-138.
- Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," CAMA Working Papers 2012-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," Reserve Bank of New Zealand Discussion Paper Series DP2012/04, Reserve Bank of New Zealand.
- Choi, Sun-Yong, 2019. "The influence of shock signals on the change in volatility term structure," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
- Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Bank of Finland Research Discussion Papers 19/2016, Bank of Finland.
- Nyholm, Ken, 2015. "A rotated Dynamic Nelson-Siegel model with macro-financial applications," Working Paper Series 1851, European Central Bank.
- Jens H. E. Christensen, 2013. "A Regime-Switching Model of the Yield Curve at the Zero Bound," Working Paper Series 2013-34, Federal Reserve Bank of San Francisco.
- Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015.
"Co-Movement, Spillovers and Excess Returns in Global Bond Markets?,"
Working Papers
2015_12, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers 2015-75, Scottish Institute for Research in Economics (SIRE).
- Kuusela, Annika & Hännikäinen, Jari, 2017. "What do the shadow rates tell us about future inflation?," MPRA Paper 80542, University Library of Munich, Germany.
- Manuel Gonzalez‐Astudillo, 2018.
"Identifying the Stance of Monetary Policy at the Zero Lower Bound: A Markov‐Switching Estimation Exploiting Monetary‐Fiscal Policy Interdependence,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 115-154, February.
- Manuel Gonzalez-Astudillo, 2014. "Identifying the Stance of Monetary Policy at the Zero Lower Bound: A Markov-switching Estimation Exploiting Monetary-Fiscal Policy Interdependence," Finance and Economics Discussion Series 2014-97, Board of Governors of the Federal Reserve System (U.S.).
- Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
- Jing Cynthia Wu & Fan Dora Xia, 2020.
"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.
- Don H. Kim & Marcel A. Priebsch, 2020. "Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?," Finance and Economics Discussion Series 2020-061, Board of Governors of the Federal Reserve System (U.S.).
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018.
"UK term structure decompositions at the zero lower bound,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- Taisuke Nakata & Hiroatsu Tanaka, 2016. "Equilibrium Yield Curves and the Interest Rate Lower Bound," Finance and Economics Discussion Series 2016-085, Board of Governors of the Federal Reserve System (U.S.).
- Rui WANG, 2019. "Estimating the Monetary Policy Measures of Japan in Shadow/ZLB Term Structure Model," Applied Economics and Finance, Redfame publishing, vol. 6(6), pages 126-139, November.
- Jens H E Christensen & Signe Krogstrup, 2019.
"Transmission of Quantitative Easing: The Role of Central Bank Reserves,"
The Economic Journal, Royal Economic Society, vol. 129(617), pages 249-272.
- Jens H. E. Christensen & Signe Krogstrup, 2014. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.
- Jens H. E. Christensen & Signe Krogstrup, 2015. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Papers 2015-06, Swiss National Bank.
- Marco J. Lombardi & Feng Zhu, 2018.
"A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound,"
International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 305-346, December.
- Marco Jacopo Lombardi & Feng Zhu, 2014. "A shadow policy rate to calibrate US monetary policy at the zero lower bound," BIS Working Papers 452, Bank for International Settlements.
- Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021.
"Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico,"
Staff Reports
961, Federal Reserve Bank of New York.
- Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Working Paper Series 2021-08, Federal Reserve Bank of San Francisco.
- Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
- Rui Wang, 2019. "Unconventional Monetary Policy in Japan: Empirical Evidence from Estimated Shadow Rate DSGE Model," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-29, June.
- Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
- Mariarosaria Comunale & Jonas Striaukas, 2017.
"Unconventional Monetary Policy: Interest Rates and Low Inflation. A Review of Literature and Methods,"
Bank of Lithuania Occasional Paper Series
13, Bank of Lithuania.
- Mariarosaria Comunale & Jonas Striaukas, 2017. "Unconventional monetary policy: interest rates and low inflation: A review of literature and methods," CAMA Working Papers 2017-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mariarosaria Comunale & Jonas Striaukas, 2017. "Unconventional monetary policy: interest rates and low inflation. A review of literature and methods," CEIS Research Paper 406, Tor Vergata University, CEIS, revised 12 May 2017.
- COMUNALE Mariarosaria & STRIAUKAS Jonas, 2017. "Unconventional monetary olicy: interest rates and low inflation. A review of literature and methods," LIDAM Discussion Papers CORE 2017026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dossani, Asad, 2024. "Monetary policy and currency variance risk premia," Research in International Business and Finance, Elsevier, vol. 69(C).
- Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017.
"Staying at zero with affine processes: An application to term structure modelling,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
- A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.
- Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).
- Lemke, Wolfgang & Vladu, Andreea L., 2016.
"Below the zero lower bound: A shadow-rate term structure model for the euro area,"
Discussion Papers
32/2016, Deutsche Bundesbank.
- Lemke, Wolfgang & Vladu, Andreea Liliana, 2017. "Below the zero lower bound: a shadow-rate term structure model for the euro area," Working Paper Series 1991, European Central Bank.
- Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
- Barbara Rossi, 2018.
"Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?,"
Economics Working Papers
1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
- Barbara Rossi, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?," Working Papers 1081, Barcelona School of Economics.
- Martin Møller Andreasen & Kasper Jørgensen & Andrew Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," CREATES Research Papers 2019-10, Department of Economics and Business Economics, Aarhus University.
- Prat, Georges & Uctum, Remzi, 2021.
"Term structure of interest rates: Modelling the risk premium using a two horizons framework,"
Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 421-436.
- Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two-horizons framework," Post-Print hal-01828843, HAL.
- Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two-horizons framework," Post-Print hal-01828854, HAL.
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- repec:zbw:bofrdp:2016_019 is not listed on IDEAS
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