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A Regime-Switching Model of the Yield Curve at the Zero Bound
| Content Provider | Semantic Scholar |
|---|---|
| Author | Christensen, J. |
| Copyright Year | 2015 |
| Abstract | This paper presents a regime-switching model of the yield curve with two states. One is a normal state, the other is a zero-bound state that represents the case when the monetary policy target rate is at its zero lower bound for a prolonged period, as the U.S. economy has been since December 2008. The model delivers estimates of the time-varying probability of exiting the zero-bound state, and it outperforms standard threeand four-factor term structure models as well as a shadow-rate model at matching short-rate expectations and the compression in yield volatility near the zero lower bound. JEL Classification: G12, E43, E52, E58 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.frbsf.org/economic-research/files/wp2013-34.pdf |
| Alternate Webpage(s) | http://www.frbsf.org/economic-research/publications/working-papers/2013/wp2013-34.pdf |
| Alternate Webpage(s) | https://www.aeaweb.org/conference/2016/retrieve.php?pdfid=1147 |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Arabic numeral 0 Bound state Compression Estimated MATCHING Short-rate model Volatility |
| Content Type | Text |
| Resource Type | Article |
