Below the zero lower bound: a shadow-rate term structure model for the euro area
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Note: 1085812
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- Lemke, Wolfgang & Vladu, Andreea L., 2016. "Below the zero lower bound: A shadow-rate term structure model for the euro area," Discussion Papers 32/2016, Deutsche Bundesbank.
References listed on IDEAS
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More about this item
Keywords
lower bound; monetary policy expectations; nonlinear state space model; term structure of interest rates;All these keywords.
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
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2017-03-05 (European Economics)
- NEP-MON-2017-03-05 (Monetary Economics)
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