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Estimates of the US Shadow-Rate

Author

Listed:
  • Rodrigo Alfaro
  • Marco Piña

Abstract

This paper provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume maximal models with two and three Gaussian factors, and we use forward rates to estimate the parameters of the models. Based on that we conclude that point estimates of SR should be taken with caution as they depend on the characteristics of the dataset, in terms of the sample-size, maturities, and smoothness. The latter is even more crucial than other settings discussed previously in the literature, such as the number of factors.

Suggested Citation

  • Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:923
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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