Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Journal of Applied Statistics 41 (2014) 3, pp. 546-572
The monetary policy targets the short rates; however, during zero interest rate policy (ZIRP), the short end of the yield curve cannot serve as a policy instrument. Relying on the joint yields-macro latent factors model, this study empirically examines the effect of monetary policy stances on...