Search Results - subject:"Shadow Rate"

Does McCallum's rule outperform Taylor's rule during the financial crisis?

Jung, Alexander - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 9-21

Persistent link: https://www.econbiz.de/10012034989

International spillovers of (un)conventional monetary policy : the effect of the ECB and the US Fed on non-euro EU countries

Hajek, Jan; Horváth, Roman - In: Economic systems 42 (2018) 1, pp. 91-105

Persistent link: https://www.econbiz.de/10012126048

Estimating term premia at the zero bound : an analysis of Japanese, US, and UK yields

Ichiue, Hibiki; Uenko, Yoichi - 2013

Persistent link: https://www.econbiz.de/10009745067

Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields

Ichiue, Hibiki; Ueno, Yoichi - Bank of Japan - 2013

This paper estimates an affine term structure model (ATSM) and a shadow rate model (SRM) using Japanese, US, and UK …

Persistent link: https://www.econbiz.de/10010907519

Monetary policy evaluation : a counterfactual analysis based on dynamic factor models

López-Buenache, Germán - In: Applied economics letters 24 (2017) 7/9, pp. 460-466

Persistent link: https://www.econbiz.de/10011711182

The shadow rate as a predictor of real activity and inflation : evidence from a data-rich environment

Hännikäinen, Jari - In: Applied economics letters 24 (2017) 7/9, pp. 527-535

Persistent link: https://www.econbiz.de/10011712434

Relationship between overnight interest rates in the US and in Turkey : some evidence from symmetric and asymmetric granger causality tests

Bulut, Umit; Erdem, Ekrem - In: The empirical economics letters : a monthly … 15 (2016) 8, pp. 787-792

Persistent link: https://www.econbiz.de/10011718590

Measuring Monetary Policy Under Zero Interest Rates With a Dynamic Stochastic General Equilibrium Model: An Application of a Particle Filter

Kitamura, Tomiyuki - Bank of Japan - 2010

currency. We call the model's nominal interest rate the 'shadow rate.' When the shadow rate is positive, it is observed as the … particle filters, and the historical movements of the shadow rate can be estimated. As an application, we estimate a small New … Keynesian model using Japanese data. The results suggest that the shadow rate was well below zero during the period when the …

Persistent link: https://www.econbiz.de/10010907471

Monetary policy and the yield curve at zero interest

Ichiue, Hibiki; Ueno, Yoichi - In: Journal of the Japanese and international economies : … 38 (2015), pp. 1-12

Persistent link: https://www.econbiz.de/10011480961