A Time Series Model of Interest Rates With the Effective Lower Bound
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DOI: 10.17016/FEDS.2016.033
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- Benjamin K. Johannsen & Elmar Mertens, 2021. "A Time‐Series Model of Interest Rates with the Effective Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1005-1046, August.
- Benjamin K Johannsen & Elmar Mertens, 2018. "A time series model of interest rates with the effective lower bound," BIS Working Papers 715, Bank for International Settlements.
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More about this item
Keywords
Bayesian Econometrics; Effective Lower Bound; Shadow Rate; 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
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-05-08 (Econometrics)
- NEP-ETS-2016-05-08 (Econometric Time Series)
- NEP-MAC-2016-05-08 (Macroeconomics)
- NEP-MON-2016-05-08 (Monetary Economics)
- NEP-PKE-2016-05-08 (Post Keynesian Economics)
Statistics
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