Chung, Tsz-Kin; Hui, Cho-Hoi; Li, Ka-Fai - Hong Kong Institute for Monetary Research (HKIMR), … - 2014
Using a non-Gaussian affine term-structure model, this paper evaluates the effectiveness of the date-based forward guidance at the zero lower bound. The model extracts the expected dynamics of two state variables (the short-term interest rate and its mean) embedded in the entire Treasury yield...