Matches in SemOpenAlex for { <https://semopenalex.org/work/W2110352011> ?p ?o ?g. }
Showing items 1 to 98 of
98
with 100 items per page.
- W2110352011 abstract "With nominal interest rates currently at or near their zero lower bound (ZLB) in many major economies, it has become untenable to apply Gaussian a¢ ne term structure models (GATSMs) while ignoring their inherent non-zero probabilities of negative interest rates. In this article I modify GATSMs by representing physical currency as call options on bonds to establish the ZLB. The resulting ZLB-GATSM framework remains tractable, producing a simple closed-form analytic expression for forward rates and requiring only elementary univariate numerical integration (over time to maturity) to obtain interest rates and bond prices. I demonstrate the salient features of the ZLB-GATSM framework using a two-factor model. An illustrative application to U.S. term structure data indicates that movements in the model state variables have been consistent with unconventional monetary policy easings undertaken after the U.S. policy rate reached the ZLB in late 2008. JEL: E43, G12, G13" @default.
- W2110352011 created "2016-06-24" @default.
- W2110352011 creator A5054890089 @default.
- W2110352011 date "2011-01-01" @default.
- W2110352011 modified "2023-10-16" @default.
- W2110352011 title "Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound" @default.
- W2110352011 cites W1976020937 @default.
- W2110352011 cites W1982927714 @default.
- W2110352011 cites W2018740726 @default.
- W2110352011 cites W2059005592 @default.
- W2110352011 cites W2068629725 @default.
- W2110352011 cites W2076057077 @default.
- W2110352011 cites W2077252204 @default.
- W2110352011 cites W2119026567 @default.
- W2110352011 cites W2134821664 @default.
- W2110352011 cites W2136915680 @default.
- W2110352011 cites W2144290449 @default.
- W2110352011 cites W2150751859 @default.
- W2110352011 cites W2153355240 @default.
- W2110352011 cites W2158448835 @default.
- W2110352011 cites W2159723913 @default.
- W2110352011 cites W2170444200 @default.
- W2110352011 cites W2289040383 @default.
- W2110352011 cites W2891090652 @default.
- W2110352011 cites W3021444882 @default.
- W2110352011 cites W3122250919 @default.
- W2110352011 cites W3124477952 @default.
- W2110352011 cites W3124893256 @default.
- W2110352011 cites W3125050320 @default.
- W2110352011 cites W4236324996 @default.
- W2110352011 cites W4298919555 @default.
- W2110352011 cites W4312521548 @default.
- W2110352011 doi "https://doi.org/10.2139/ssrn.1950439" @default.
- W2110352011 hasPublicationYear "2011" @default.
- W2110352011 type Work @default.
- W2110352011 sameAs 2110352011 @default.
- W2110352011 citedByCount "8" @default.
- W2110352011 countsByYear W21103520112012 @default.
- W2110352011 countsByYear W21103520112013 @default.
- W2110352011 countsByYear W21103520112014 @default.
- W2110352011 countsByYear W21103520112015 @default.
- W2110352011 countsByYear W21103520112017 @default.
- W2110352011 countsByYear W21103520112021 @default.
- W2110352011 crossrefType "journal-article" @default.
- W2110352011 hasAuthorship W2110352011A5054890089 @default.
- W2110352011 hasBestOaLocation W21103520112 @default.
- W2110352011 hasConcept C105795698 @default.
- W2110352011 hasConcept C121332964 @default.
- W2110352011 hasConcept C121864883 @default.
- W2110352011 hasConcept C138885662 @default.
- W2110352011 hasConcept C149782125 @default.
- W2110352011 hasConcept C162324750 @default.
- W2110352011 hasConcept C163716315 @default.
- W2110352011 hasConcept C175025494 @default.
- W2110352011 hasConcept C176230804 @default.
- W2110352011 hasConcept C2778078003 @default.
- W2110352011 hasConcept C2780813799 @default.
- W2110352011 hasConcept C33923547 @default.
- W2110352011 hasConcept C40753778 @default.
- W2110352011 hasConcept C41895202 @default.
- W2110352011 hasConcept C556758197 @default.
- W2110352011 hasConcept C61797465 @default.
- W2110352011 hasConcept C62520636 @default.
- W2110352011 hasConceptScore W2110352011C105795698 @default.
- W2110352011 hasConceptScore W2110352011C121332964 @default.
- W2110352011 hasConceptScore W2110352011C121864883 @default.
- W2110352011 hasConceptScore W2110352011C138885662 @default.
- W2110352011 hasConceptScore W2110352011C149782125 @default.
- W2110352011 hasConceptScore W2110352011C162324750 @default.
- W2110352011 hasConceptScore W2110352011C163716315 @default.
- W2110352011 hasConceptScore W2110352011C175025494 @default.
- W2110352011 hasConceptScore W2110352011C176230804 @default.
- W2110352011 hasConceptScore W2110352011C2778078003 @default.
- W2110352011 hasConceptScore W2110352011C2780813799 @default.
- W2110352011 hasConceptScore W2110352011C33923547 @default.
- W2110352011 hasConceptScore W2110352011C40753778 @default.
- W2110352011 hasConceptScore W2110352011C41895202 @default.
- W2110352011 hasConceptScore W2110352011C556758197 @default.
- W2110352011 hasConceptScore W2110352011C61797465 @default.
- W2110352011 hasConceptScore W2110352011C62520636 @default.
- W2110352011 hasLocation W21103520111 @default.
- W2110352011 hasLocation W21103520112 @default.
- W2110352011 hasOpenAccess W2110352011 @default.
- W2110352011 hasPrimaryLocation W21103520111 @default.
- W2110352011 hasRelatedWork W1530463969 @default.
- W2110352011 hasRelatedWork W1565820356 @default.
- W2110352011 hasRelatedWork W2147288076 @default.
- W2110352011 hasRelatedWork W2214954559 @default.
- W2110352011 hasRelatedWork W3122295142 @default.
- W2110352011 hasRelatedWork W3123014659 @default.
- W2110352011 hasRelatedWork W3124194294 @default.
- W2110352011 hasRelatedWork W3124600531 @default.
- W2110352011 hasRelatedWork W3125325303 @default.
- W2110352011 hasRelatedWork W3125507604 @default.
- W2110352011 isParatext "false" @default.
- W2110352011 isRetracted "false" @default.
- W2110352011 magId "2110352011" @default.
- W2110352011 workType "article" @default.