This paper demonstrates how to value American interest rate options under the jump extended constant-elasticity-of-variance (CEV) models. We consider both exponential jumps (see Duffie, Pan, and Singleton (2000)) and lognormal jumps (see Johannes (2004)) in the short rate process. We show how to...

We estimate a New Keynesian model on post-war US data with generalised method of moments using either constant or time- varying debt and labor income taxes. We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term...

I estimate a dynamic term-structure model with time-varying risk premia on a panel of Treasury coupon bonds, without relying on an interpolated zero-coupon yield curve or a selection of maturities. The model allows me to incorporate prices and realized returns of coupon bonds into the estimation...

I study expectation driven liquidity traps in a model were agents have finite planning horizons and heterogeneous expectations. There are backward-looking agents, who base their expectations on past observations, and forward-looking agents, who observe the expectations of backward-looking...