Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields

By Don H. Kim, Kenneth J. Singleton. 2012

244 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1089d4a8f7baebea2aaa149a534741be2d496e11

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Citations in the corpus

The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “The term premium estimates used by GRRS are obtained from the model of Kim and Wright (2005). What distinguishes their model from an unrestricted—i.”
Measuring the Stance of Monetary Policy in Zero Lower Bound Environments (2013, unknown): “12As noted by Kim and Singleton (2011) p. 25, Ueno, Baba, and Sakurai (2006) obtains implausibly low shadow short rates (a low of around 18 percent).”
Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies (2019, background): “The shadow rate is the shortest maturity rate, extracted from a term structure model, that would generate the observed yield curve had the ELB not been binding (Kim and Singleton, 2012; Krippner, 2012; Christensen and Rudebusch, 2015, 2016).”
Transmission of Quantitative Easing: The Role of Central Bank Reserves (2016, background): “47Following Kim and Singleton (2012), the prefix “B-” refers to a shadow-rate model in the spirit of Black (1995).”
A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound (2014, unknown): “Wu and Xia (2016) construct an analytical approximation 6More recently, Kim and Singleton (2012) find that their two-factor affine, quadratic-Gaussian, and shadow rate models capture some key features of JGB data and that the shadow rate models outperform other models in terms of the fit to…”
A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013, unknown): “33For example, Christensen and Rudebusch (2013) p. 22 presents CAB-AFNSM(2) SSRs for Japan (albeit estimated using the EKF) that are similar to the Kim and Singleton (2012) Black-GATSM(2) estimates, and also see the discussion at the end of section 3.1 in the present article.”
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “…such numerical methods render it very difficult to solve the associated higher-dimensional PDE systems within a reasonable time.6 This is a severe limitation to estimating shadow-rate models since the bond pricing literature has focused on models with at least three factors driving bond yields.”
Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014, unknown): “In each scenario, impulse responses are computed as the diﬀerence between the path of the economy after the shock and the baseline path of the economy absent the shock.”