Search Results - subject:"Quadratic term structure models"

A shadow rate or a quadratic policy rule? : the best way to enforce the zero lower bound in the United States

Andreasen, Martin Møller; Meldrum, Andrew - 2018

We study whether it is better to enforce the zero lower bound (ZLB) in models of U.S. Treasury yields using a shadow rate model or a quadratic term structure model. We show that the models achieve a similar in-sample fit and perform comparably in matching conditional expectations of future...

Persistent link: https://www.econbiz.de/10012016103

Dynamic term structure models: The best way to enforce the zero lower bound

Andreasen, Martin M.; Meldrum, Andrew - School of Economics and Management, University of Aarhus - 2014

by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure … models (QTSMs) and shadow rate models with at most four pricing factors using the sequential regression approach. Our …

Persistent link: https://www.econbiz.de/10011084733

Likelihood inference in non-linear term structure models: the importance of the lower bound

Andreasen, Martin; Meldrum, Andrew - Bank of England - 2013

This paper shows how to use adaptive particle filtering and Markov chain Monte Carlo methods to estimate quadratic term … structure models (QTSMs) by likelihood inference. The procedure is applied to a quadratic model for the United States during the …

Persistent link: https://www.econbiz.de/10010723559

Likelihood inference in non-linear term structure models : the importance of the lower bound

Andreasen, Martin; Meldrum, Andrew - 2013

Persistent link: https://www.econbiz.de/10010357117