Faster solutions for Black zero lower bound term structure models
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References listed on IDEAS
- Black, Fischer, 1995. " Interest Rates as Options," Journal of Finance, American Finance Association, vol. 50(5), pages 1371-1376, December.
- Michael D. Bauer & Glenn D. Rudebusch, 2016.
"Monetary Policy Expectations at the Zero Lower Bound,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 48(7), pages 1439-1465, October.
- Bauer, Michael D. & Rudebusch, Glenn D., 2013. "Monetary Policy Expectations at the Zero Lower Bound," Working Paper Series 2013-18, Federal Reserve Bank of San Francisco, revised 21 May 2015.
- repec:fip:fedlps:y:2012:i:nov8 is not listed on IDEAS
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- 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.
- 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.
More about this item
KeywordsBlack framework; zero lower bound; shadow short rate; term structure model;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-02 (All new papers)
- NEP-CMP-2013-10-02 (Computational Economics)
- NEP-MAC-2013-10-02 (Macroeconomics)
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