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Leo Krippner

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Personal Details

First Name: Leo
Middle Name:
Last Name: Krippner
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RePEc Short-ID: pkr73

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Affiliation

Reserve Bank of New Zealand
Location: Wellington, New Zealand
Homepage: http://www.rbnz.govt.nz/
Email:
Phone: 64 4 471-3767
Fax: 64 4 471-2270
Postal: P.O. Box 2498, Wellington
Handle: RePEc:edi:rbngvnz (more details at EDIRC)

Works

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Working papers

  1. Leo Krippner, 2014. "Measuring the stance of monetary policy in conventional and unconventional environments," CAMA Working Papers 2014-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Leo Krippner, 2013. "Faster solutions for Black zero lower bound term structure models," CAMA Working Papers 2013-66, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Leo Krippner, 2013. "A tractable framework for zero lower bound Gaussian term structure models," Reserve Bank of New Zealand Discussion Paper Series DP2013/02, Reserve Bank of New Zealand.
  4. Leo Krippner, 2013. "Efficient Jacobian evaluations for estimating zero lower bound term structure models," CAMA Working Papers 2013-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2012/02, Reserve Bank of New Zealand.
  6. Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)," CAMA Working Papers 2012-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Leo Krippner, 2012. "A model for interest rates near the zero lower bound: An overview and discussion," Reserve Bank of New Zealand Analytical Notes series AN2012/05, Reserve Bank of New Zealand.
  8. Leo Krippner, 2012. "Measuring the stance of monetary policy in zero lower bound environments," Reserve Bank of New Zealand Discussion Paper Series DP2012/04, Reserve Bank of New Zealand.
  9. Leo Krippner, 2010. "A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2010/11, Reserve Bank of New Zealand.
  10. Leo Krippner, 2009. "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series DP2009/10, Reserve Bank of New Zealand.
  11. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  12. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics.
  14. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato, Department of Economics.
  15. Leo Krippner, 2005. "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics 05/03, University of Waikato, Department of Economics.
  16. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato, Department of Economics.
  17. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato, Department of Economics.
  18. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics.
  19. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato, Department of Economics.
  20. Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series DP2002/01, Reserve Bank of New Zealand.
  21. Leo Krippner, 1998. "Testing the predictive power of New Zealand bank bill futures rates," Reserve Bank of New Zealand Discussion Paper Series G98/8, Reserve Bank of New Zealand.

Articles

  1. Krippner, Leo, 2013. "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, vol. 118(1), pages 135-138.
  2. Leo Krippner & Daniel L. Thornton, 2012. "A proposal for improving forward guidance," Economic Synopses, Federal Reserve Bank of St. Louis.
  3. Leo Krippner, 2010. "Connecting the dots: a yield curve perspective on New Zealand’s interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 73, September.
  4. Leo Krippner, 2006. "A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 39-59.
  5. Leo Krippner & Michael Gordon, 2001. "Market expectations of the Official Cash Rate," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, June.

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2002-06-13 2014-02-02
  2. NEP-CMP: Computational Economics (1) 2013-10-02
  3. NEP-ECM: Econometrics (2) 2013-08-23 2013-12-29
  4. NEP-FDG: Financial Development & Growth (1) 2010-01-16
  5. NEP-FIN: Finance (2) 2005-02-06 2005-03-20
  6. NEP-FMK: Financial Markets (4) 2002-06-13 2003-10-12 2005-03-20 2007-02-10
  7. NEP-FOR: Forecasting (1) 2010-01-16
  8. NEP-IFN: International Finance (1) 2007-02-10
  9. NEP-MAC: Macroeconomics (16) 2005-02-06 2005-02-06 2005-03-20 2005-12-14 2007-02-10 2008-07-20 2009-09-19 2010-01-16 2011-01-16 2012-04-03 2012-11-17 2013-08-23 2013-10-02 2013-11-16 2013-12-29 2014-02-02. Author is listed
  10. NEP-MON: Monetary Economics (9) 2002-06-13 2003-10-12 2005-02-06 2005-12-14 2007-02-10 2008-07-20 2012-04-03 2012-11-17 2014-02-02. Author is listed
  11. NEP-RMG: Risk Management (2) 2003-10-12 2005-03-20

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