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Term structure models and the zero bound: An empirical investigation of Japanese yields

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Cited by:

  1. 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.
  2. King, Thomas B., 2019. "Expectation and duration at the effective lower bound," Journal of Financial Economics, Elsevier, vol. 134(3), pages 736-760.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  8. 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.
  9. Mehmet Pasaogullari, 2015. "Forecasts from Reduced-form Models under the Zero-Lower-Bound Constraint," Working Papers (Old Series) 1512, Federal Reserve Bank of Cleveland.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Working Paper Series 2476, European Central Bank.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
  27. 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.
  28. 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.
  29. 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).
  30. 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.
  31. 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.
  32. 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).
  33. 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).
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
  43. 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.
  44. Mohsan Bilal, 2017. "Zeroing in: Asset Pricing at the Zero Lower Bound," 2017 Meeting Papers 377, Society for Economic Dynamics.
  45. 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.
  46. Peter Hördahl & Oreste Tristani, 2019. "Modelling yields at the lower bound through regime shifts," BIS Working Papers 813, Bank for International Settlements.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. Krippner, Leo, 2013. "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, vol. 118(1), pages 135-138.
  52. 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.
  53. 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.
  54. Nyholm, Ken, 2015. "A rotated Dynamic Nelson-Siegel model with macro-financial applications," Working Paper Series 1851, European Central Bank.
  55. 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.
  56. 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.
  57. Kuusela, Annika & Hännikäinen, Jari, 2017. "What do the shadow rates tell us about future inflation?," MPRA Paper 80542, University Library of Munich, Germany.
  58. 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.
  59. 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.
  60. 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.
  61. 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.).
  62. 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.
  63. 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.).
  64. 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.
  65. 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.
  66. 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.
  67. 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.
  68. 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.
  69. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
  70. 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.
  71. 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.
  72. 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).
  73. Dossani, Asad, 2024. "Monetary policy and currency variance risk premia," Research in International Business and Finance, Elsevier, vol. 69(C).
  74. 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.
  75. 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).
  76. 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.
  77. 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.
  78. 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.
  79. 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.
  80. 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.
  81. Jamie L. Cross & Aubrey Poon & Wenying Yao & Dan Zhu, 2024. "A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis," Working Papers No 06/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  82. Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing Corporate Bonds With Interest Rates Following Double Square-root Process," Working Papers 112016, Hong Kong Institute for Monetary Research.
  83. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
  84. Hibiki Ichiue & Yoichi Ueno, 2013. "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series 13-E-8, Bank of Japan.
  85. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-75, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  86. Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li, 2015. "Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium," Working Papers 212015, Hong Kong Institute for Monetary Research.
  87. Christian Meier & Lingfei Li & Gongqiu Zhang, 2021. "Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation," Papers 2107.04260, arXiv.org.
  88. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
  89. Maarten van Oordt, 2017. "Which Model to Forecast the Target Rate?," Staff Working Papers 17-60, Bank of Canada.
  90. J. Boeckx & N. Cordemans & M. Dossche, 2013. "Causes and implications of the low level of the risk-free interest rate," Economic Review, National Bank of Belgium, issue ii, pages 63-88, September.
  91. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
  92. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
  93. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
  94. Carlos Alba & Gabriel Cuadra & Juan R. Hernandez & Raul Ibarra, 2024. "Capital flows to emerging economies and global risk aversion during the COVID‐19 pandemic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 2804-2836, July.
  95. Fornero, Jorge & Kirchner, Markus & Molina, Carlos, 2024. "Estimating shadow policy rates in a small open economy and the role of foreign factors," Journal of International Money and Finance, Elsevier, vol. 140(C).
  96. Benchimol, Jonathan & Fourçans, André, 2019. "Central bank losses and monetary policy rules: A DSGE investigation," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 289-303.
  97. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
  98. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
  99. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2018. "Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 109-128.
  100. Kang, Kyu Ho, 2015. "The predictive density simulation of the yield curve with a zero lower bound," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 51-66.
  101. Yutaka Kurihara, 2016. "Effectiveness of the Zero Interest Rate Policy for Financial Markets in Japan: Principal Components Analysis," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 103-111, August.
  102. Grisse, Christian, 2015. "The zero lower bound and movements in the term structure of interest rates," Economics Letters, Elsevier, vol. 131(C), pages 66-69.
  103. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
  104. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
  105. Martin Hodula, 2019. "Monetary Policy and Shadow Banking: Trapped between a Rock and a Hard Place," Working Papers 2019/5, Czech National Bank.
  106. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
  107. Christensen, Jens H.E. & Spiegel, Mark M., 2022. "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, vol. 231(2), pages 410-431.
  108. Kentaro Kikuchi, "undated". "A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy," Discussion Papers CRR Discussion Paper Series B: Financial 19, Shiga University, Faculty of Economics,Center for Risk Research.
  109. Christian Grisse, 2023. "Lower Bound Uncertainty and Long‐Term Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 619-634, March.
  110. Martin M. Andreasen & Kasper Joergensen & Andrew C. Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," Finance and Economics Discussion Series 2019-040, Board of Governors of the Federal Reserve System (U.S.).
  111. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
  112. Junko Koeda, 2017. "Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan," The Japanese Economic Review, Japanese Economic Association, vol. 68(4), pages 443-457, December.
  113. Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li, 2014. "Assessing the Effectiveness of Date-Based Forward Guidance at the Zero Lower Bound with a Non-Gaussian Affine Term-Structure Model," Working Papers 192014, Hong Kong Institute for Monetary Research.
  114. Benjamin K. Johannsen & Elmar Mertens, 2021. "A Time‐Series Model of Interest Rates with the Effective Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1005-1046, August.
  115. Halberstadt, Arne & Krippner, Leo, 2016. "The effect of conventional and unconventional euro area monetary policy on macroeconomic variables," Discussion Papers 49/2016, Deutsche Bundesbank.
  116. Meier, Christian & Li, Lingfei & Zhang, Gongqiu, 2023. "Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1292-1308.
  117. Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Research Discussion Papers 19/2016, Bank of Finland.
  118. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.
  119. Peter Feldhütter, 2016. "Can Affine Models Match the Moments in Bond Yields?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-56, June.
  120. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
  121. Leo Krippner, 2013. "Efficient Jacobian evaluations for estimating zero lower bound term structure models," CAMA Working Papers 2013-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  122. Inaba, Kei-Ichiro, 2020. "Japan’s impactful augmentation of quantitative easing sovereign-bond purchases," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  123. Istiak, Khandokar, 2019. "The nature of shadow bank leverage shocks on the macroeconomy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  124. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
  125. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
  126. Yoichi Ueno, 2017. "Term Structure Models with Negative Interest Rates," IMES Discussion Paper Series 17-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
  127. Gideon Magnus, 2016. "A plausible model of yield curve dynamics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 205-228, May.
  128. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
  129. Michael D. Bauer & Glenn D. Rudebusch, 2016. "Monetary Policy Expectations at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1439-1465, October.
  130. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
  131. Chung, Tsz-Kin & Iiboshi, Hirokuni, 2015. "Prediction of Term Structure with Potentially Misspecified Macro-Finance Models near the Zero Lower Bound," MPRA Paper 85709, University Library of Munich, Germany.
  132. Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.
  133. Likuan Qin & Vadim Linetsky & Yutian Nie, 2016. "Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums," Papers 1601.06477, arXiv.org.
  134. Junttila, Juha & Nguyen, Vo Cao Sang, 2022. "Impacts of sovereign risk premium on bank profitability: Evidence from euro area," International Review of Financial Analysis, Elsevier, vol. 81(C).
  135. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2015. "Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 876-904, April.
  136. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
  137. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
  138. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.
  139. repec:zbw:bofrdp:2016_019 is not listed on IDEAS
  140. Jonathan Benchimol & André Fourçans, 2017. "Monetary Rule, Central Bank Loss and Household’s Welfare: an Empirical Investigation," Globalization Institute Working Papers 329, Federal Reserve Bank of Dallas.
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