A Note of Caution on Shadow Rate Estimates

Author:

KRIPPNER LEO

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference20 articles.

1. Monetary Policy Expectations at the Zero Lower Bound

2. Bullard James. (2012) “Shadow Interest Rates and the Stance of U.S. Monetary Policy.” Remarks at the Annual Conference Olin Business School Washington University in St. Louis 8 November.http://www.stlouisfed.org/newsroom/displayNews.cfm?article=1574.

3. On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models

4. Christensen Jens JoseLopez andPaulMussche. (2018) “Extrapolating Long‐Maturity Bond Yields for Financial Risk Measurement.” Federal Reserve Bank of San Francisco Working Paper No. 2018‐09.

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

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