Search Results - subject:"Shadow rate"

Sovereign spread divergence owing to inflation and redenomination risk countered by unconventional monetary policy in the Eurozone

Kiss, Gábor Dávid; Alipanah, Sabri - In: Economic modelling 131 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014451202

Forward guidance and its effectiveness: A macro finance shadow-rate framework

Koeda, Junko; Wei, Bin - 2023

-finance shadow rate term structure model by introducing unspanned macro factors and an outcome-based liftoff condition. We estimate …

Persistent link: https://www.econbiz.de/10014480709

Forward guidance and its effectiveness : a macro finance shadow-rate framework

Koeda, Junko; Wei, Bin - 2023

-finance shadow rate term structure model by introducing unspanned macro factors and an outcome-based liftoff condition. We estimate …

Persistent link: https://www.econbiz.de/10014381169

Estimates of the US shadow-rate

Alfaro, Rodrigo; Piña, Marco - In: Latin American journal of central banking : LAJCB 4 (2023) 1, pp. 1-17

This article provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume …

Persistent link: https://www.econbiz.de/10014382809

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

Effects of US interest rate shocks in the emerging market economies : evidence from panel structural VAR

Sikhwal, Shweta - In: Russian journal of economics 8 (2022) 3, pp. 234-254

We examine, using a monthly dataset from 2007 to 2020, the US interest rate shocks' effects on exchange rates, broad money aggregates, and foreign exchange reserves in emerging market economies (EMEs) post global financial crisis. To evaluate the impact of unconventional monetary policy...

Persistent link: https://www.econbiz.de/10015394239

A structural measure of the shadow federal funds rate

Jones, Callum; Kulish, Mariano; Morley, James C. - 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

A structural measure of the shadow federal funds rate

Jones, Callum; Kulish, Mariano; Morley, James C. - 2021

Persistent link: https://www.econbiz.de/10012704881