Zero Lower Bound Term Structure Modeling : A Practitioner's Guide

Title -- Copyright -- Dedication -- Contents -- List of Figures -- List of Tables -- Preface -- Acknowledgments -- Selected List of Notation -- Classification and Abbreviations for Term Structure Models -- 1 Introduction -- 1.1 Chapteroverview -- 1.2 Suggested reading -- 1.2.1 Group 1:Generalmonetary policy readers -- 1.2.2 Group 2:General financialmarket readers -- 1.2.3 Group 3:Termstructuremodelers -- 1.3 Data -- 1.4 Availability of results and code -- 1.5 References to the literature -- 1.6 Other preliminaries -- 2 ANew Framework for a New Environment -- 2.1 Monetary policy -- 2.1.1 Pre-GFC -- 2.1.2 Post-GFC -- 2.2 Termstructuremodeling -- 2.2.1 Pre-GFC -- 2.2.2 Post-GFC -- 2.3 Shadow/ZLBtermstructuremodels -- 2.3.1 ZLBmechanism -- 2.3.2 Options to hold physical currency -- 2.4 Monetary policy revisited -- 2.5 AlternativeZLBmodels -- 2.5.1 Square-root termstructuremodels -- 2.5.2 Log-normal termstructuremodels -- 2.5.3 QuadraticGaussian termstructuremodels -- 2.6 Summary -- 3 Gaussian Affine Term StructureModels -- 3.1 GATSMs -- 3.1.1 GATSMspecification -- 3.1.2 GATSMdynamics and related calculations -- 3.1.3 GATSMtermstructure -- 3.2 GATSMestimation -- 3.2.1 Kalman filter equations and related parameters -- 3.2.2 Partial estimation -- 3.2.3 Full estimation -- 3.3 Worked example:ANSM(2) -- 3.3.1 ANSM(2) Specification -- 3.3.2 ANSM(2)Termstructure -- 3.3.3 Partial ANSM(2) estimation with the Kalman filter -- 3.3.4 FullANSM(2) estimationwith theKalman filter -- 3.4 OtherGATSMs -- 3.4.1 ANSM(3) -- 3.4.2 Higher-orderANSMs -- 3.4.3 Non-arbitrage-freeANSMs -- 3.4.4 StationaryGATSMs -- 3.4.5 StationaryGATSMswith repeated eigenvalues -- 3.5 Empirical applications -- 3.5.1 Yield curve data set -- 3.5.2 ANSM(2) results -- 3.5.3 ANSM(3) results -- 3.6 Alternative estimationmethods -- 3.6.1 Estimation using forward rates