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Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
16 references·12 citing·35 second hop
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? (2016)Modeling Yields at the Zero Lower Bound: …Monetary Policy Expectations at the Zero Lower Bound (2016)Monetary Policy Expectations …The Response of Interest Rates to US and UK Quantitative Easing (2012)The Response of Interest Rate…Identification and estimation of Gaussian affine term structure models (2012)Identification and estimation…Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…The affine arbitrage-free class of Nelson–Siegel term structure models (2011)The affine arbitrage-free cla…Term Structure Estimation with Survey Data on Interest Rate Forecasts (2011)Term Structure Estimation wit…Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Futures prices as risk-adjusted forecasts of monetary policy (2008)Futures prices as risk-adjust…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates (2005)An Arbitrage-Free Three-Facto…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Interest Rates as Options (1995)Interest Rates as OptionsParsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The macroeconomic effects of unconventional monetary policy: Comparing euro area and US models with shadow rates (2023)The macroeconomic effects of …Monetary policy and bank performance: The role of business models (2021)Monetary policy and bank perf…Bank diversification and the effectiveness of monetary policy transmission: Evidence from the bank lending channel in Vietnam (2021)Bank diversification and the …Unconventional Monetary Policy and Wealth Inequalities in Great Britain* (2020)Unconventional Monetary Polic…Does Monetary Policy Influence the Profitability of Banks in New Zealand? (2020)Does Monetary Policy Influenc…Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices (2019)Term Structure Analysis with …Asset market responses to conventional and unconventional monetary policy shocks in the United States (2018)Asset market responses to con…Staying at zero with affine processes: An application to term structure modelling (2017)Staying at zero with affine p…Transmission of Quantitative Easing: The Role of Central Bank Reserves (2016)Transmission of Quantitative …Monetary Policy Expectations at the Zero Lower Bound (2015)Monetary Policy Expectations …Unconventional Monetary Policy and Long-Term Interest Rates (2014)Unconventional Monetary Polic…Monetary Policy Expectations at the Zero Lower Bound (2013)Monetary Policy Expectations …The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Decomposing the Yield Curve (2009)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)The influence of monetary policy on bank profitability (2017)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Forecasting the Term Structure of Government Bond Yields (2003)Bond Liquidity Premia (2011)Information in (and not in) the Term Structure (2011)Risk premia in crude oil futures prices (2013)The federal funds rate and the channels of monetary transmission (1989)Monetary Policy Shocks: What Have We Learned and to What End? (1998)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)An Anatomy of Commodity Futures Risk Premia (2011)Countercyclical currency risk premia (2013)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Comparing Predictive Accuracy (1994)Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields (2010)Explaining the Rate Spread on Corporate Bonds (2001)Interest‐Rate Modelling (2014)Bond Risk Premiums with Machine Learning (2020)A consumption-based model of the term structure of interest rates☆ (2005)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)
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References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2005An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates490 cited
  • 2011The affine arbitrage-free class of Nelson–Siegel term structure models431 cited
  • 1995Interest Rates as Options428 cited
  • 2008Futures prices as risk-adjusted forecasts of monetary policy353 cited
  • 2012The Response of Interest Rates to US and UK Quantitative Easing344 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 2011Term Structure Estimation with Survey Data on Interest Rate Forecasts237 cited
  • 2012Correcting Estimation Bias in Dynamic Term Structure Models230 cited
  • 2012Identification and estimation of Gaussian affine term structure models

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181 cited
  • 2016Monetary Policy Expectations at the Zero Lower Bound176 cited
  • Cited by

    • 2017Staying at zero with affine processes: An application to term structure modelling59 cited
    • 2019Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices58 cited
    • 2020Does Monetary Policy Influence the Profitability of Banks in New Zealand?51 cited
    • 2013Monetary Policy Expectations at the Zero Lower Bound50 cited
    • 2015Monetary Policy Expectations at the Zero Lower Bound44 cited
    • 2020Unconventional Monetary Policy and Wealth Inequalities in Great Britain*30 cited
    • 2014Unconventional Monetary Policy and Long-Term Interest Rates29 cited
    • 2021Monetary policy and bank performance: The role of business models29 cited
    • 2018Asset market responses to conventional and unconventional monetary policy shocks in the United States23 cited
    • 2023The macroeconomic effects of unconventional monetary policy: Comparing euro area and US models with shadow rates16 cited
    • 2016Transmission of Quantitative Easing: The Role of Central Bank Reserves16 cited
    • 2021Bank diversification and the effectiveness of monetary policy transmission: Evidence from the bank lending channel in Vietnam16 cited