Zero Lower Bound Term Structure Modeling
A Practitioner S Guide
Published on 14. January 2014
Book
Paperback/Softback
409 pages
978-1-349-68123-5 (ISBN)
Description
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
More details
Series
Edition
2015 ed.
Language
English
Place of publication
New York
United States
Product notice
Paperback (trade)
Unsewn / adhesive bound
Illustrations
Bibliography
Dimensions
Height: 235 mm
Width: 155 mm
ISBN-13
978-1-349-68123-5 (9781349681235)
DOI
10.1057/9781137401823
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Book
01/2015
Palgrave MacMillan
€117.69
Shipment within 10-20 days
Persons
Leo Krippner is Senior Advisor to the Research Section of the Economics Department at the Reserve Bank of New Zealand.
Content
Chapter 1: Introduction Chapter 2: A New Framework for a New Environment Chapter 3: Gaussian Affine Term Structure Models Chapter 4: Krippner Framework for ZLB Term Structure Modeling Chapter 5: Black Framework for ZLB Term Structure Modeling Chapter 6: K-ANSM Foundations and "Effective Monetary Stimulus" Chapter 7: Monetary Policy Applications Chapter 8: Financial Market Applications Chapter 9: Conclusions and Future Research Directions Appendix A: Matrix Notation