Estimates of the US shadow-rate

Rodrigo Alfaro, Marco Piña

This article provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume maximal models with two and three Gaussian factors, and we use forward rates to estimate the model's parameters. Based on that, we conclude that point estimates of SR should be taken with caution because they depend on the characteristics of the data set, including the sample size, maturities, and smoothness. The latter is even more crucial than other settings discussed previously in the literature, such as the number of factors.

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Year of publication:	2023
Authors:	Alfaro, Rodrigo ; Piña, Marco
Published in:	Latin American journal of central banking : LAJCB. - Amsterdam : Elsevier, ISSN 2666-1438, ZDB-ID 3035191-1. - Vol. 4.2023, 1, Art.-No. 100080, p. 1-17
Subject:	Extended Kalman filter \| Forward rates \| Gaussian factors \| Shadow rate \| Zustandsraummodell \| State space model \| Schätztheorie \| Estimation theory \| Zinsstruktur \| Yield curve

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.latcb.2022.100080 [DOI]
Classification:	C32 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General
Source:	ECONIS - Online Catalogue of the ZBW

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