We address an important yet unanswered question: What would be the economic determinants of the implied volatility during the zero lower bound periods? To answer this question, we examine time variations of the cap market implied volatility and investigate economic determinants on slopes and...

The interest rate transition from the positive environment, into the negative territory questions the consensus of interest rates and opens up a wide field of unresearched areas. To cope with the changing interest rate environment as well as satisfying regulatory criteria, a model following the...

Beginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their...