Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?

DOI10.1080/02664763.2013.845142OpenAlexW2001763532MaRDI QIDQ5128603

Wali Ullah, Yoshihiko Tsukuda, Yasumasa Matsuda

Publication date: 28 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.845142

zbMATH Keywords

curvaturestate-space modelmonetary policy transmissionterm structurelatent factorsEGARCHexpectation channel

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Term structure forecasting in affine framework with time-varying volatility ⋮ Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?

Cites Work

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• Generalized impulse response analysis in linear multivariate models
• Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• Yield curve estimation by kernel smoothing methods

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