Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound

2016 ◽  
Author(s):  
Guillaume Roussellet
Keyword(s):  
Lower Bound ◽  
Term Structure ◽  
Structure Modeling ◽  
Zero Lower Bound ◽  
Affine Term Structure ◽  
Term Structure Modeling ◽  
Macroeconomic Risks

scholarly journals UK Term Structure Decompositions at the Zero Lower Bound

2017 ◽  
Author(s):  
Andrea Carriero ◽  
Sarah Mouabbi ◽  
Elisabetta Vangelista
Keyword(s):  
Lower Bound ◽  
Term Structure ◽  
Zero Lower Bound

scholarly journals A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States

2018 ◽  
Vol 54 (5) ◽  
pp. 2261-2292 ◽  
Author(s):  
Martin M. Andreasen ◽  
Andrew Meldrum
Keyword(s):  
Lower Bound ◽  
Term Structure ◽  
The United States ◽  
Quadratic Term ◽  
Zero Lower Bound ◽  
Term Structure Model ◽  
Conditional Expectations ◽  
Pricing Factors ◽  
Quadratic Term Structure ◽  
Reasonable Description

We study whether it is better to enforce the zero lower bound (ZLB) in models of U.S. Treasury yields using a shadow rate model or a quadratic term structure model. We show that the models achieve a similar in-sample fit and perform comparably in matching conditional expectations of future yields. However, when the recent ZLB period is included in the sample, the models’ ability to match conditional expectations away from the ZLB deteriorates because the time-series dynamics of the pricing factors change. In addition, neither model provides a reasonable description of conditional volatilities when yields are away from the ZLB.

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