Estimating Shadow-Rate Term Structure Models with Near-Zero Yields

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Subfields: Finance

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Monetary Policy Spillovers and the Trilemma in the New Normal: Periphery Country Sensitivity to Core Country Conditions (2016, unknown): “For Japan, we use the shadow rates estimated by Christensen and Rudebusch (2014). We use the REER indices from the IMF’s International Financial Statistics (IFS).”
Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2017, unknown): “23The idea of the shadow rate has also been explored by, among others, Krippner (2013) and Christensen and Rudebusch (2015).”
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? (2013, methodology): “…rate, f t (τ), that applies to any Gaussian model f t (τ) = ft(τ)Φ (ft(τ) ω(τ) ) + ω(τ) 1√ 2π exp ( − 1 2 [ft(τ) ω(τ) ]2) , 16For details of the derivations, see Christensen and Rudebusch (2015). where Φ(·) is the cumulative probability function for the standard normal distribution, ft(τ) is…”