A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models
By Leo Krippner. 2013
127 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1a54158978bddba6cc6e67d2c8054645759feca1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- David Gabauer
- Rangan Gupta
- Nikolaos Antonakakis
- Jens H. E. Christensen
- Glenn D. Rudebusch
- Elie Bouri
- George Filis
- Ioannis Chatziantoniou
In Finance
- David Gabauer
- Jens H. E. Christensen
- Glenn D. Rudebusch
- Rangan Gupta
- Nikolaos Antonakakis
- J. Wu
- A. Schrimpf
- Anna Cieślak
Citations in the corpus
- Shocking language: understanding the macroeconomic effects of central bank communication (2016, unknown): “In this paper, we make use of Latent Dirichlet Allocation (LDA) to (4)There are other similar approaches to calculating a shadow rate including Bauer and Rudebusch (2013) and Krippner (2013).”
- A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound (2014, unknown): “…major asset purchase programs implemented by the Federal Reserve: LSAP1 (November 2008), LSAP2 (November 2010), MEP (September 2011), LSAP3 (September 2012), and the tapering of asset purchases (January 2014). a monetary tightening, and the Krippner (2013a) rate shows a slow and moderate decline.”
- Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? (2013, methodology): “As highlighted by Christensen and Rudebusch (2015), the Krippner (2013) framework should be viewed as not fully internally consistent and simply an approximation to an arbitrage-free model.”
- International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression (2019, methodology): “…concern, and is available for download from the website of the Reserve Bank of New Zealand.2 The two-factor yield curve-based framework developed by Krippner (2013) essentially removes the effect that the option to invest in physical currency (at an interest rate of zero) has on yield curves,…”
- Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013, methodology): “Kim and Priebsch (2013) apply the unscented Kalman filter, while Krippner (2013a) uses the iterated extended Kalman filter.”