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Zero Lower Bound Term Structure Modeling

2015-01-05 Business & Economics
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Release : 2015-01-05
Genre : Business & Economics
Kind : eBook
Book Rating : 826/5 ( reviews)

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Book Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner

Download or read book Zero Lower Bound Term Structure Modeling written by L. Krippner. This book was released on 2015-01-05. Available in PDF, EPUB and Kindle. Book excerpt: Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.

Term-Structure Modelling at the Zero Lower Bound

2018
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Release : 2018
Genre :
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Book Synopsis Term-Structure Modelling at the Zero Lower Bound by : Tsz-Kin Chung

Download or read book Term-Structure Modelling at the Zero Lower Bound written by Tsz-Kin Chung. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: Although the affine Gaussian term-structure model has been a workhorse model in termstructuremodelling, it remains doubtful whether it is an appropriate model in a low interest rate environment. This paper uses an alternative quadratic Gaussian-term structure model which is well known to be as tractable as the affine model and yet is suitable for interest rates close to zero. Compared with the quadratic model under the zero lower bound, we illustrate how the forward term premium can be biased upward under the affine model both theoretically and empirically.

Term Structure Modeling Near the Zero Lower Bound

2018
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Release : 2018
Genre :
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Book Synopsis Term Structure Modeling Near the Zero Lower Bound by : Oliver Krek

Download or read book Term Structure Modeling Near the Zero Lower Bound written by Oliver Krek. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. The regime structure uses interest rate option implied densities and builds on smooth transition regression trees, relating to potential Big Data as well as high frequency applications. Results for the US and EU show an improvement in the fit for the yield level, especially at the short end of the term structure.

Dynamic Term Structure Models

2015
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Release : 2015
Genre :
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Book Synopsis Dynamic Term Structure Models by :

Download or read book Dynamic Term Structure Models written by . This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt:

A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models

2013 Gaussian processes
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Release : 2013
Genre : Gaussian processes
Kind : eBook
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Book Synopsis A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models by : Leo Krippner

Download or read book A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models written by Leo Krippner. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt:

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