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UK term structure decompositions at the zero lower bound

Citations

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Cited by:

  1. Sheen, Jeffrey & Wang, Ben Zhe, 2021. "Measuring macroeconomic disagreement – A mixed frequency approach," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 547-566.
  2. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(3), pages 323-335, September.
  3. Sangyup Choi & Davide Furceri & Seung Yong Yoo, 2023. "Heterogeneity in the Effects of Uncertainty Shocks on Labor Market Dynamics and Extensive vs. Intensive Margins of Adjustment," Working papers 2023rwp-222, Yonsei University, Yonsei Economics Research Institute.
  4. Stefano Fasani & Haroon Mumtaz & Lorenza Rossi, 2023. "Monetary Policy and Firm Dynamics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 278-296, January.
  5. Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2022. "Interest rate uncertainty and the predictability of bank revenues," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1559-1569, December.
  6. 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.
  7. Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
  8. Magdalene Williams & Ahmad Abu Alrub & Mehmet Aga, 2022. "Ecological Footprint, Economic Uncertainty and Foreign Direct Investment in South Africa: Evidence From Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
  9. Nicolas Himounet & Francisco Serranito & Julien Vauday, 2021. "Uncertainty is bad for Business. Really?," Working Papers 2021.03, International Network for Economic Research - INFER.
  10. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
  11. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
  12. Chiang, Thomas C., 2021. "Spillovers of U.S. market volatility and monetary policy uncertainty to global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  13. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
  14. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
  15. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
  16. Saygin Sahinoz & Evren Erdogan Cosar, 2020. "Quantifying uncertainty and identifying its impacts on the Turkish economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(2), pages 365-387, May.
  17. Michael D Bauer & Aeimit Lakdawala & Philippe Mueller, 2022. "Market-Based Monetary Policy Uncertainty," The Economic Journal, Royal Economic Society, vol. 132(644), pages 1290-1308.
  18. Bulusu, Narayan & Guérin, Pierre, 2019. "What drives interbank loans? Evidence from Canada," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 427-444.
  19. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
  20. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Working Paper Series 2476, European Central Bank.
  21. Zahir Barahmand & Marianne S. Eikeland, 2022. "Techno-Economic and Life Cycle Cost Analysis through the Lens of Uncertainty: A Scoping Review," Sustainability, MDPI, vol. 14(19), pages 1-22, September.
  22. Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Clement Kyei, 2019. "Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets," Working Papers 201939, University of Pretoria, Department of Economics.
  23. Rangan Gupta & Chi Keung Marco Lau & Jacobus A. Nel & Xin Sheng, 2020. "Monetary policy uncertainty spillovers in time and frequency domains," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-30, December.
  24. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
  25. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
  26. Castelnuovo, Efrem & Tran, Trung Duc, 2017. "Google It Up! A Google Trends-based Uncertainty index for the United States and Australia," Economics Letters, Elsevier, vol. 161(C), pages 149-153.
  27. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
  28. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
  29. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
  30. Albert K. Tsui & Junxiang Wu & Zhaoyong Zhang & Zhongxi Zheng, 2023. "Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1205-1227, August.
  31. Klodiana Istrefi & Anamaria Piloiu, 2020. "Public Opinion on Central Banks when Economic Policy is Uncertain," Revue d'économie politique, Dalloz, vol. 130(2), pages 283-306.
  32. Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
  33. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
  34. Andrikopoulos, Athanasios & Chen, Zhongfei & Chortareas, Georgios & Li, Kexin, 2023. "Global economic policy Uncertainty, gross capital Inflows, and the mitigating role of Macroprudential policies," Journal of International Money and Finance, Elsevier, vol. 131(C).
  35. Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  36. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
  37. Kavanagh, Ella & Zhu, Sheng & O’Sullivan, Niall, 2022. "Monetary policy, trade-offs and the transmission of UK Monetary Policy," Journal of Policy Modeling, Elsevier, vol. 44(6), pages 1128-1147.
  38. Beckmann, Joscha & Czudaj, Robert L., 2023. "Perceived monetary policy uncertainty," Journal of International Money and Finance, Elsevier, vol. 130(C).
  39. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
  40. Boeckx, Jef & Iania, Leonardo & Wauters, Joris, 2023. "Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia," LIDAM Discussion Papers LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
  41. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
  42. Liu, Yang & Sheng, Xuguang Simon, 2019. "The measurement and transmission of macroeconomic uncertainty: Evidence from the U.S. and BRIC countries," International Journal of Forecasting, Elsevier, vol. 35(3), pages 967-979.
  43. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
  44. Pelin Öge Güney, 2023. "Interest Rate Uncertainty and Macroeconomics in Turkey," Prague Economic Papers, Prague University of Economics and Business, vol. 2023(2), pages 184-204.
  45. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
  46. Ruipeng Liu & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
  47. Godwin Olasehinde-Williams & Oktay Özkan, 2022. "Is interest rate uncertainty a predictor of investment volatility? evidence from the wild bootstrap likelihood ratio approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 507-521, July.
  48. Matthew W Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020. "Predicting firm-level volatility in the United States: the role of monetary policy uncertainty," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 167-177.
  49. Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2023. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.
  50. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
  51. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  52. Nguyen Ba Trung, 2022. "Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty," International Finance, Wiley Blackwell, vol. 25(3), pages 285-295, December.
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