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Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?

Citations

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Cited by:

  1. Anastasios Evgenidis & Apostolos Fasianos, 2019. "Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data," Papers 1912.09702, arXiv.org.
  2. Sarah Mouabbi & Jean‐Guillaume Sahuc, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 831-858, June.
  3. Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
  4. Garcia-Revelo, José & Levieuge, Grégory & Sahuc, Jean-Guillaume, 2025. "Revisiting 15 years of unusual transatlantic monetary policies," Journal of International Money and Finance, Elsevier, vol. 159(C).
  5. Christensen, Jens H.E. & Lopez, Jose A. & Mussche, Paul L., 2024. "International evidence on extending sovereign debt maturities," Journal of International Money and Finance, Elsevier, vol. 141(C).
  6. Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2015. "A probability-based stress test of Federal Reserve assets and income," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 26-43.
  7. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
  8. 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.
  9. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
  10. Carlos Carvalho & Eric Hsu & Fernanda Nechio, 2016. "Measuring the effect of the zero lower bound on monetary policy," Working Paper Series 2016-6, Federal Reserve Bank of San Francisco.
  11. Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Bank of Finland Research Discussion Papers 19/2016, Bank of Finland.
  12. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
  13. Bertrand Candelon & Rubens Moura, 2024. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," Journal of Financial Econometrics, Oxford University Press, vol. 22(5), pages 1558-1587.
  14. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2024. "China's monetary policy framework and global commodity prices," Energy Economics, Elsevier, vol. 138(C).
  15. Tilman Bletzinger & Wolfgang Lemke & Jean-Paul Renne, 2025. "Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 110-138.
  16. Rui Wang, 2019. "Unconventional Monetary Policy in Japan: Empirical Evidence from Estimated Shadow Rate DSGE Model," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-29, June.
  17. 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.
  18. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
  19. 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.
  20. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.
  21. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy : identification through the yield curve," Research Discussion Papers 3/2020, Bank of Finland.
  22. Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018. "UK term structure decompositions at the zero lower bound," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
  23. 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.
  24. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
  25. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
  26. Kang, Kyu Ho, 2015. "The predictive density simulation of the yield curve with a zero lower bound," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 51-66.
  27. Dang, Van Dan & Huynh, Japan, 2022. "Monetary policy and bank performance: The role of business models," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  28. Prat, Georges & Uctum, Remzi, 2021. "Term structure of interest rates: Modelling the risk premium using a two horizons framework," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 421-436.
  29. Christensen, Jens H.E. & Spiegel, Mark M., 2022. "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, vol. 231(2), pages 410-431.
  30. Jacob Bjerre Skov & David Skovmand, 2021. "Dynamic term structure models for SOFR futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1520-1544, October.
  31. 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.
  32. Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Research Discussion Papers 19/2016, Bank of Finland.
  33. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
  34. Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
  35. Joseph E. Gagnon, 2016. "Quantitative Easing: An Underappreciated Success," Policy Briefs PB16-4, Peterson Institute for International Economics.
  36. Adam Golinski & Sophie Guilloux-Nefussi & Jean-Paul Renne, 2025. "The Shadow Rate Model: Let’s Make it Real!," Working papers 1014, Banque de France.
  37. Vijay Kumar & Sanjeev Acharya & Ly T. H. Ho, 2020. "Does Monetary Policy Influence the Profitability of Banks in New Zealand?," IJFS, MDPI, vol. 8(2), pages 1-17, June.
  38. Kučera, Adam & Kočenda, Evžen & Maršál, Aleš, 2025. "Yield curve dynamics and fiscal policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
  39. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
  40. Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  41. Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021. "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, vol. 75(C).
  42. 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.
  43. Andreas Schrimpf & Markus Sihvonen, 2025. "Inflation and the joint bond-FX spanning puzzle," BIS Working Papers 1320, Bank for International Settlements.
  44. Dang, Van Dan & Dang, Van Cuong, 2021. "Liquidity injection, bank lending, and security holdings: The asymmetric effects in Vietnam," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
  45. Junttila, Juha & Nguyen, Vo Cao Sang, 2022. "Impacts of sovereign risk premium on bank profitability: Evidence from euro area," International Review of Financial Analysis, Elsevier, vol. 81(C).
  46. Mamatzakis, Emmanuel & Bermpei, Theodora, 2016. "What is the effect of unconventional monetary policy on bank performance?," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 239-263.
  47. Benjamin Garcia & Arsenios Skaperdas, 2017. "Inferring the Shadow Rate from Real Activity," Finance and Economics Discussion Series 2017-106, Board of Governors of the Federal Reserve System (U.S.).
  48. Hördahl, Peter & Tristani, Oreste, 2019. "Modelling yields at the lower bound through regime shifts," Working Paper Series 2320, European Central Bank.
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