Krippner Zero Lower Bound Term Structure Modeling

A Practitioner’s Guide
2015
ISBN: 978-1-137-40182-3
Verlag: Palgrave Macmillan US
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 436 Seiten, eBook

Reihe: Applied Quantitative Finance

Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.

Zielgruppe

Research

Autoren/Hrsg.

Krippner, L.

Inhaltsverzeichnis

Chapter 1: Introduction Chapter 2: A New Framework for a New Environment Chapter 3: Gaussian Affine Term Structure Models Chapter 4: Krippner Framework for ZLB Term Structure Modeling Chapter 5: Black Framework for ZLB Term Structure Modeling Chapter 6: K-ANSM Foundations and "Effective Monetary Stimulus" Chapter 7: Monetary Policy Applications Chapter 8: Financial Market Applications Chapter 9: Conclusions and Future Research Directions Appendix A: Matrix Notation

Über Autor(innen)

Leo Krippner is Senior Advisor to the Research Section of the Economics Department at the Reserve Bank of New Zealand.