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Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, and a shadow-rate DTSM, which...
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To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed’s associated interest rate risk — including potential losses to its Treasury securities holdings and declines in remittances to the Treasury. Unlike past examinations of this interest...
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Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...
Persistent link: https://www.econbiz.de/10011114889
This paper explores the relationship between inflation and the existence of a local, nominal, publicly-traded, long …-maturity, domestic-currency bond market. Bond holders are exposed to capital losses through inflation and therefore represent a potential … choose a lower inflation rate. We then check this prediction empirically using a panel of data, examining inflation before …
Persistent link: https://www.econbiz.de/10011188054