European spreads at the interest rate lower bound

DOI10.1016/J.JEDC.2020.103979zbMath1475.91372OpenAlexW2619543327MaRDI QIDQ2246719

Laura Coroneo, Sergio Pastorello

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103979

zbMATH Keywords

lower boundsovereign riskshadow rate term structure model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

Uses Software

• L-BFGS
• TAPENADE

Cites Work

• Evolving macroeconomic perceptions and the term structure of interest rates
• Identification and estimation of Gaussian affine term structure models
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
• On the limited memory BFGS method for large scale optimization
• Measuring the stance of monetary policy in zero lower bound environments
• The Tapenade automatic differentiation tool
• Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*
• A Simplex Method for Function Minimization
• Maximum Likelihood Estimation of Misspecified Models

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