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Zero Lower Bound Term Structure Modeling

L. Krippner
Zero Lower Bound Term Structure Modeling by L. Krippner PDF

Author : L. Krippner
Publisher : Springer
Page : 436 pages
File Size : 14,92 MB
Release : 2015-01-05
Category : Business & Economics
ISBN : 1137401826

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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

Tsz-Kin Chung
Term-Structure Modelling at the Zero Lower Bound by Tsz-Kin Chung PDF

Author : Tsz-Kin Chung
Publisher :
Page : 7 pages
File Size : 16,64 MB
Release : 2018
Category :
ISBN :

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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

Oliver Krek
Term Structure Modeling Near the Zero Lower Bound by Oliver Krek PDF

Author : Oliver Krek
Publisher :
Page : pages
File Size : 25,64 MB
Release : 2018
Category :
ISBN :

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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.