Andreasen, Martin M.; Meldrum, Andrew - School of Economics and Management, University of Aarhus - 2014
This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound … by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure … models (QTSMs) and shadow rate models with at most four pricing factors using the sequential regression approach. Our …