Search Results - subject:"Shadow rate"

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

Opschoor, Daan; van der Wel, Michel - 2022

We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of … interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model … state. Moreover, we show that the smooth shadow-rate DNS model dominates the baseline DNS model in terms of fitting and …

Persistent link: https://www.econbiz.de/10013356467

A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound

Opschoor, Daan; Wel, Michel van der - 2022

We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of … interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model …. Moreover, we show that the smooth shadow-rate DNS model dominates the baseline DNS model in terms of fitting and forecasting …

Persistent link: https://www.econbiz.de/10012817007

A structural measure of the shadow federal funds rate

Jones, Callum; Kulish, Mariano; Morley, James - 2022

Persistent link: https://www.econbiz.de/10013478697

Oil price shock in the US and the euro area - evidence from the shadow rate and the term premium

Pažický, Martin - In: Review of Economic Perspectives 21 (2021) 3, pp. 309-346

The aim of this article is to investigate the consequences of oil price changes for the economy of the US and the euro area. Oil price transmission channel is assessed using Granger causalities and structural vector autoregressive (VAR) specifications (applying the Cholesky factorization and the...

Persistent link: https://www.econbiz.de/10012819409