Christensen, Jens H. E.; Rudebusch, Glenn D. - In: Dynamic factor models, (pp. 75-125). 2016
Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. Therefore, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, to a shadow-rate DTSM, which respects the ZLB....