A model of the euro-area yield curve with discrete policy rates

DOI10.1515/SNDE-2016-0043OpenAlexW3122572025MaRDI QIDQ2691694

Jean-Paul Renne

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0043

zbMATH Keywords

affine term-structure modelsregime switching modelszero lower bound

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

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Cites Work

• Unnamed Item
• A tractable interest rate model with explicit monetary policy rates
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Dynamic linear models with Markov-switching
• Measuring the stance of monetary policy in zero lower bound environments
• Bond pricing when the short-term interest rate follows a threshold process
• An Intertemporal General Equilibrium Model of Asset Prices
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

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